On the sensitivity of the usual \(t\)- and \(F\)-tests to covariance misspecification

DOI10.1016/S0304-4076(99)00034-2zbMath0970.62042MaRDI QIDQ1971791

Jan R. Magnus, Anurag N. Banerjee

Publication date: 3 October 2001

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

zbMATH Keywords

sensitivityrobustnesst-testF-testautocorrelation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Hypothesis testing in multivariate analysis (62H15) Parametric inference under constraints (62F30)

Related Items (8)

Impact factors ⋮ On the sensitivity of pre-test estimators to covariance misspecification ⋮ On the sensitivity of the restricted least squares estimators to covariance misspecification ⋮ Local sensitivity and diagnostic tests ⋮ ON SIZE AND POWER OF HETEROSKEDASTICITY AND AUTOCORRELATION ROBUST TESTS ⋮ Covariance miss-specification and the local influence approach in sensitivity analyses of longitudinal data with drop-outs ⋮ On the sensitivity of the one-sided \(t\) test to covariance misspecification ⋮ Robustness of Stein-type estimators under a non-scalar error covariance structure

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On the robustness of the F-test to autocorrelation among disturbances
• The power of the Durbin-Watson test for regressions without an intercept
• Estimating the autocorrelated error model with trended data
• On the impact of the tests for serial correlation upon the test of significance for the regression coefficient
• Maximum likelihood estimation of the GLS model with unknown parameters in the disturbance covariance matrix
• The sensitivity of OLS when the variance matrix is (partially) unknown
• The Traditional Pretest Estimator
• Hypothesis Testing in Linear Models when the Error Covariance Matrix is Nonscalar
• Approximate Normality of Generalized Least Squares Estimates
• Exact Tests and Confidence sets in Linear Regressions with Autocorrelated Errors
• Testing Residuals from Least Squares Regression for Being Generated by the Gaussian Random Walk
• Approximate Power Functions for Some Robust Tests of Regression Coefficients
• Effects of ARMA Errors on Tests for Regression Coefficients: Comments on Vinod's Article; Improved and Additional Results
• Effects of ARMA Errors on the Significance Tests for Regression Coefficients
• Mathematical forms of the distribution of the product of two normal variables
• On the Frequency Function of $xy$
• TESTING FOR SERIAL CORRELATION IN LEAST SQUARES REGRESSION. II
• On a Characterisation of the Gamma Distribution

This page was built for publication: On the sensitivity of the usual \(t\)- and \(F\)-tests to covariance misspecification