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

DOI10.2307/1911057zbMATH Open0682.62066OpenAlexW1996393055MaRDI QIDQ4732007FDOQ4732007

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

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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)

Cited In (6)

• 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
• 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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