The effect of a Durbin–Watson pretest on confidence intervals in regression

DOI10.1111/stan.12222arXiv1804.04306OpenAlexW3042390588MaRDI QIDQ6067710

Unnamed Author, Unnamed Author, Paul V. Kabaila, Davide Farchione

Publication date: 14 December 2023

Published in: Statistica Neerlandica (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1804.04306

zbMATH Keywords

coverage probabilityrestricted maximum likelihoodlinear regression modelautocorrelated errorsfeasible generalized least squares

Mathematics Subject Classification ID

Parametric inference (62Fxx) Applications of statistics (62Pxx) Inference from stochastic processes (62Mxx)

Cites Work

• The impact of a Hausman pretest, applied to panel data, on the coverage probability of confidence intervals
• Bias Reduction of Autoregressive Estimates in Time Series Regression Model through Restricted Maximum Likelihood
• Computing the distribution of quadratic forms in normal variables
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