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

DOI10.1016/0165-1765(89)90153-5MaRDI QIDQ902663zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3357817 (Why is no real title available?)
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Robustness to non-normality of regression tests
• The power of the Durbin-Watson test for regressions without an intercept

Cited in

(10)

• Autocorrelation- and heteroskedasticity-consistent \(t\)-values with trending data
• Robustness of F-tests in linear models
• Controlling the size of autocorrelation robust tests
• On the sensitivity of the usual \(t\)- and \(F\)-tests to covariance misspecification
• On size and power of heteroskedasticity and autocorrelation robust tests
• scientific article; zbMATH DE number 3878183 (Why is no real title available?)
• 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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