On the sensitivity of the restricted least squares estimators to covariance misspecification
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Publication:5433619
DOI10.1111/j.1368-423X.2007.00217.xzbMath1127.62051MaRDI QIDQ5433619
Alan T. K. Wan, Huai-Zhen Qin, Guo Hua Zou
Publication date: 9 January 2008
Published in: The Econometrics Journal (Search for Journal in Brave)
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Related Items (4)
A note on the properties of Stein-rule and inequality restricted estimators when the regression model is over-fitted ⋮ On the sensitivity of pre-test estimators to covariance misspecification ⋮ On the sensitivity of the one-sided \(t\) test to covariance misspecification ⋮ Robustness of Stein-type estimators under a non-scalar error covariance structure
Cites Work
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- 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
- The sensitivity of OLS when the variance matrix is (partially) unknown
- On the sensitivity of the usual \(t\)- and \(F\)-tests to covariance misspecification
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