Local power of consistent tests for serial correlation against the nearly integrated, nearly white noise process
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Publication:969469
DOI10.1016/j.econlet.2009.12.014zbMath1204.62158OpenAlexW2085847370MaRDI QIDQ969469
Publication date: 7 May 2010
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2009.12.014
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Asymptotic properties of parametric tests (62F05)
Cites Work
- Local asymptotic distribution related to the AR(1) model with dependent errors
- Further Results on Testing AR (1) Against MA (1) Disturbances in the Linear Regression Model
- Testing for Higher Order Serial Correlation in Regression Equations when the Regressors Include Lagged Dependent Variables
- Testing for Serial Correlation Against an ARMA(1, 1,) Process
- Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties