An Edgeworth Test Size Correction for the Linear Model with AR(1) Errors

DOI10.2307/1911057MaRDI QIDQ4732007zbMATH OpenOpenAlexFDO

Authors Lonnie Magee

Publication date 1989

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1911057

zbMATH Keywords

simulation studytests of linear hypothesesover-rejectionAR(1) errorseffect of autocorrelationEdgeworth size correction

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cited in

(7)

• Resampling methods for tests in regression models with autocorrelated errors
• On Small Sample Properties of the Wald, LR and LM Tests in a Linear Model with AR(1) Errors
• Edgeworth-adjusting test statistics for ar(1) errors
• On size and power of heteroskedasticity and autocorrelation robust tests
• Size corrected significance tests in seemingly unrelated regressions with autocorrelated errors
• Alternative size corrections for some GLS test statistics. The case of the AR(1) model
• The size and power of the bias-corrected bootstrap test for regression models with autocorrelated errors

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