A New Test for Autocorrelation in the Disturbances of the Dynamic Linear Regression Model

DOI10.2307/2526843zbMath0716.62088OpenAlexW4233322348MaRDI QIDQ3203886

Brett A. Inder

Publication date: 1990

Published in: International Economic Review (Search for Journal in Brave)

Full work available at URL: https://ageconsearch.umn.edu/record/266961/files/monash-084.pdf

zbMATH Keywords

Monte Carlo studypowercritical valueslagged dependent variablesmall-disturbance asymptoticstesting for first order autoregressive errors

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05)

Related Items (3)

The application of the durbin-watson test to the dynamic regression model under normal and non-normal errors ⋮ A Bayesian note on competing correlation structures in the dynamic linear regression model ⋮ Testing for autocorrelation in the presence of lagged dependent variables

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