A point optimal test for autoregressive disturbances

DOI10.1016/0304-4076(85)90042-9zbMath0556.62068OpenAlexW2085516189MaRDI QIDQ760995

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

zbMATH Keywords

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

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Statistical tables (62Q05)

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Uses Software

• AS 155
• AS 153

Cites Work

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• Robust tests for spherical symmetry and their application to least squares regression
• The alternative Durbin-Watson test. An assessment of Durbin and Watson's choice of test statistic
• 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
• 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
• The Power of the Durbin-Watson Test
• Serial correlation and distributions on the shere
• TESTING FOR SERIAL CORRELATION IN LEAST SQUARES REGRESSION. II