A new test for fourth-order autoregressive disturbances

DOI10.1016/0304-4076(84)90053-8zbMath0559.62097OpenAlexW2024395403MaRDI QIDQ2266339

Maxwell L. King

Publication date: 1984

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

Full work available at URL: https://doi.org/10.1016/0304-4076(84)90053-8

zbMATH Keywords

design matricessignificance pointsempirical power comparisonmost powerful invariantfourth-order autoregressive disturbancesWallis test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear regression; mixed models (62J05) Hypothesis testing in multivariate analysis (62H15)

Related Items

Relative efficiency of OLSE and COTE for seasonal autoregressive disturbances ⋮ Joint one-sided tests of linear regression coefficients ⋮ Small-sample power of tests for inequality restrictions ⋮ Higher order generalisation of first order autoregressive tests ⋮ On consistent testing for serial correlation in seasonal time series models

Uses Software

• AS 155
• AS 153

Cites Work

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• Robust tests for spherical symmetry and their application to least squares regression
• The alternative Durbin-Watson test. An assessment of Durbin and Watson's choice of test statistic
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• SERIAL CORRELATION IN REGRESSION ANALYSIS. I
• The Durbin-Watson Test for Serial Correlation: Bounds for Regressions with Trend and/or Seasonal Dummy Variables
• Algorithm AS 155: The Distribution of a Linear Combination of χ 2 Random Variables
• Algorithm AS 153: Pan's Procedure for the Tail Probabilities of the Durbin-Watson Statistic
• Testing for Fourth Order Autocorrelation in Quarterly Regression Equations
• “Generalization of the durbin-watson statistic for higher order autoregressive processes