On the robustness of the F-test to autocorrelation among disturbances

DOI10.1016/0165-1765(89)90153-5zbMATH Open1328.62426OpenAlexW2091408790MaRDI QIDQ902663FDOQ902663

Authors: N. E. Zubov 

Publication date: 1 January 2016

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(89)90153-5

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Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Linear regression; mixed models (62J05)

Cites Work

• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Title not available (Why is that?)
• The power of the Durbin-Watson test for regressions without an intercept
• Robustness to non-normality of regression tests

Cited In (9)

• Robustness of F-tests in linear models
• Autocorrelation- and heteroskedasticity-consistent \(t\)-values with trending data
• On the sensitivity of the usual \(t\)- and \(F\)-tests to covariance misspecification
• On size and power of heteroskedasticity and autocorrelation robust tests
• Title not available (Why is that?)
• Some consequences of using the Chow tests in the context of autocorrelated disturbances
• Testing for cross-sectional dependence in a panel factor model using the wild bootstrap \(F\) test
• The robustness of the F-test to spatial autocorrelation among regression disturbances
• When is cross impact relevant?

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