The small-sample power of Durbin's \(h\) test revisited

DOI10.1016/0167-9473(92)00061-UzbMath0937.62530MaRDI QIDQ1361560

Robert K. Rayner

Publication date: 31 August 1997

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

zbMATH Keywords

simulationserial correlationsize-adjusted power

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items

Applied regression analysis bibliography update 1994-97

Cites Work

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• Finite-sample power of tests for autocorrelation in models containing lagged dependent variables
• On bootstrapping two-stage least-squares estimates in stationary linear models
• The small sample bias of Durbin's tests for serial correlation when one of the regressors is the lagged dependent variable and the null hypothesis is true
• Some Small Sample Properties of Durbin's Tests for Serial Correlation in Regression Models Containing Lagged Dependent Variables
• On the Small-Sample Power of Durbin's h Test
• Tests for Serial Correlation in Regression Models with Lagged Dependent Variables and Serially Correlated Errors
• A Note on Serial Correlation Bias in Estimates of Distributed Lags
• TESTING FOR SERIAL CORRELATION IN LEAST SQUARES REGRESSION. II