A point optimal test for autoregressive disturbances

DOI10.1016/0304-4076(85)90042-9zbMATH Open0556.62068OpenAlexW2085516189MaRDI QIDQ760995FDOQ760995

Maxwell L. King

Publication date: 1985

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(85)90042-9

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zbMATH Keywords

Durbin-Watson testempirical power comparisonmost powerful invarianttesting for first-order autoregressive disturbances

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) Statistical tables (62Q05)

Cites Work

• Algorithm AS 155: The Distribution of a Linear Combination of χ 2 Random Variables
• Algorithm AS 153: Pan's Procedure for the Tail Probabilities of the Durbin-Watson Statistic
• Title not available (Why is that?)
• TESTING FOR SERIAL CORRELATION IN LEAST SQUARES REGRESSION. II
• Robust tests for spherical symmetry and their application to least squares regression
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• The alternative Durbin-Watson test. An assessment of Durbin and Watson's choice of test statistic
• The Power of the Durbin-Watson Test
• Title not available (Why is that?)
• Title not available (Why is that?)
• SERIAL CORRELATION IN REGRESSION ANALYSIS. I
• Testing the Independence of Regression Disturbances
• The Durbin-Watson Test for Serial Correlation: Bounds for Regressions with Trend and/or Seasonal Dummy Variables
• Serial correlation and distributions on the shere

Cited In (28)

• AN EXACT TEST FOR A STOCHASTIC COEFFICIENT IN A TIME SERIES REGRESSION MODEL
• Title not available (Why is that?)
• Point optimal tests of the null hypothesis of cointegration
• Empirically relevant critical values for hypothesis tests: A bootstrap approach
• Bias-adjusted estimation in the ARX(1) model
• The limiting power of point optimal autocorrelation tests
• Testing for autocorrelation in the presence of lagged dependent variables
• The application of the durbin-watson test to the dynamic regression model under normal and non-normal errors
• Hypothesis testing based on a vector of statistics
• Title not available (Why is that?)
• A new approximate point optimal test of a composite null hypothesis
• ON THE POWER OF INVARIANT TESTS FOR HYPOTHESES ON A COVARIANCE MATRIX
• The Class of Models for Which the Durbin-Watson Test is Locally Optimal
• Higher order generalisation of first order autoregressive tests
• A new test for fourth-order autoregressive disturbances
• Finite sample power of linear regression autocorrelation tests
• On the sensitivity of the restricted least squares estimators to covariance misspecification
• Joint one-sided tests of linear regression coefficients
• Testing for a slowly changing level with special reference to stochastic volatility
• The exact powers of some autocorrelation tests when the disturbances are heteroscedastic
• Ratio tests of a unit root
• The power of autocorrelation tests near the unit root in models with possibly mis-specified linear restrictions
• The locally unbiased two-sided Durbin-Watson test
• A Bayesian note on competing correlation structures in the dynamic linear regression model
• Testing for autoregressive disturbances in a time series regression with missing observations
• IMPROVING THE NUMERICAL TECHNIQUE FOR COMPUTING THE ACCUMULATED DISTRIBUTION OF A QUADRATIC FORM IN NORMAL VARIABLES
• A joint test for serial correlation and heteroscedasticity
• Finite‐sample power of the Durbin–Watson test against fractionally integrated disturbances

Uses Software

• AS 155
• AS 153

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