A small-sample correction for testing for \(g\)th-order serial correlation with artificial regressions

DOI10.1023/A:1008654023721zbMath0893.90032OpenAlexW1548868176MaRDI QIDQ1366838

David A. Belsley

Publication date: 17 September 1997

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

Full work available at URL: https://doi.org/10.1023/a:1008654023721

zbMATH Keywords

serial correlationMonte Carlo experimentsDurbin-Watson statisticartificial regressionstest procedurebiased \(t\)-test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82) Probabilistic methods, stochastic differential equations (65C99)

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