Alternative size corrections for some GLS test statistics. The case of the \(AR(1)\) model

DOI10.1016/0304-4076(94)01607-2zbMath0813.62078OpenAlexW2033519364MaRDI QIDQ1347091

Michael A. Magdalinos, Spyridon D. Symeonides

Publication date: 6 June 1995

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

Full work available at URL: https://doi.org/10.1016/0304-4076(94)01607-2

zbMATH Keywords

Monte CarloF distributionsnormalStudent-tchi-squareEdgeworth approximationAR(1) normal linear modelCornish-Fisher corrected test statisticsEdgeworth corrected critical valuesF testssize corrections

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Hypothesis testing in multivariate analysis (62H15) Statistical tables (62Q05)

Related Items (2)

Higher order expansions for error variance matrix estimates in the Gaussian AR(1) linear regression model ⋮ Size corrected significance tests in seemingly unrelated regressions with autocorrelated errors

Cites Work

• Unnamed Item
• Efficiency of iterative estimators in the regression model with AR(1) disturbances
• Useful invariance results for generalized regression models
• Hypothesis Testing in Linear Models when the Error Covariance Matrix is Nonscalar
• Testing a Subset of Coefficients in a Structural Equation
• The Percentile Points of Distributions Having Known Cumulants
• Asymptotic Expansions of the Distributions of the Test Statistics for Overidentifying Restrictions in a System of Simultaneous Equations
• Approximate Power Functions for Some Robust Tests of Regression Coefficients
• A Monte Carlo Evaluation of Some Ridge-Type Estimators
• A Maximum Likelihood Procedure for Regression with Autocorrelated Errors
• An Edgeworth Test Size Correction for the Linear Model with AR(1) Errors
• Generalized Asymptotic Expansions of Cornish-Fisher Type

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