Edgeworth-adjusting test statistics for ar(1) errors

DOI10.1080/03610919108812989zbMath0850.62655OpenAlexW2077827058MaRDI QIDQ4019295

Lonnie Magee

Publication date: 16 January 1993

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610919108812989

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Hypothesis testing in multivariate analysis (62H15) Monte Carlo methods (65C05)

Cites Work

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• The properties of some covariance matrix estimators in linear models with AR(1) errors
• The jackknife and regression with \(AR(1)\) errors
• Estimating the autocorrelated error model with trended data
• Useful invariance results for generalized regression models
• On the impact of the tests for serial correlation upon the test of significance for the regression coefficient
• On choosing the optimal level of significance for the Durbin-Watson test and the Bayesian alternative
• Hypothesis Testing in Linear Models when the Error Covariance Matrix is Nonscalar
• Optimal Critical Values for Pre-Testing in Regression
• An Edgeworth Test Size Correction for the Linear Model with AR(1) Errors
• Bayesian Analysis of the Regression Model With Autocorrelated Errors

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