The limiting power of point optimal autocorrelation tests

DOI10.1080/03610928308831162zbMath0784.62062OpenAlexW2034217417MaRDI QIDQ4275861

John P. Small

Publication date: 12 April 1994

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: http://ageconsearch.umn.edu/record/263070

zbMATH Keywords

point optimal testsinterceptautocorrelation testslimiting powerDurbin-Watson testAR(1) errorsOLS-residuals

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Hypothesis testing in multivariate analysis (62H15) Asymptotic properties of parametric tests (62F05)

Related Items (4)

The limiting power of the durbin-watson test ⋮ The power of autocorrelation tests near the unit root in models with possibly mis-specified linear restrictions ⋮ POWER PROPERTIES OF INVARIANT TESTS FOR SPATIAL AUTOCORRELATION IN LINEAR REGRESSION ⋮ The exact powers of some autocorrelation tests when the disturbances are heteroscedastic

Uses Software

• SHAZAM

Cites Work

• Unnamed Item
• Unnamed Item
• Finite sample power of linear regression autocorrelation tests
• A point optimal test for autoregressive disturbances
• The power of the Durbin-Watson test for regressions without an intercept
• 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
• On the power of the durbin-watson test under high autocorrelation
• CRITICAL VALUE APPROXIMATIONS FOR TESTS OF LINEAR REGRESSION DISTURBANCES
• Testing for the Independence of Regression Disturbances
• Linear Statistical Inference and its Applications

This page was built for publication: The limiting power of point optimal autocorrelation tests