Effects of ARMA Errors on Tests for Regression Coefficients: Comments on Vinod's Article; Improved and Additional Results

DOI10.2307/2287458zbMath0469.62071OpenAlexW1981800889MaRDI QIDQ3923458

Jan F. Kiviet

Publication date: 1980

Full work available at URL: https://doi.org/10.2307/2287458

zbMATH Keywords

robustnesstime seriesserial correlationmultiple regressionARMA errors

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99)

Related Items (6)

Effects of correlated disturbances of some regression problems ⋮ Bounds on the effect of heteroscedasticity on the chow test for structural change ⋮ Critical bounds for MA(2) and MA(3) processes ⋮ On the sensitivity of the usual \(t\)- and \(F\)-tests to covariance misspecification ⋮ Some consequences of using the Chow tests in the context of autocorrelated disturbances ⋮ Markovian processes, two-sided autoregressions and finite-sample inference for stationary and nonstationary autoregressive processes

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