Finite sample power of linear regression autocorrelation tests

DOI10.1016/0304-4076(90)90125-DzbMath0691.62059MaRDI QIDQ582781

Helmut Zeisel, Walter Kramer

Publication date: 1990

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

ratios of quadratic formsautocorrelation testsDubin-Watson testlimiting power

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Hypothesis testing in multivariate analysis (62H15)

Related Items (11)

The limiting power of the durbin-watson test ⋮ The limiting power of point optimal autocorrelation tests ⋮ The power of autocorrelation tests near the unit root in models with possibly mis-specified linear restrictions ⋮ HOW TO AVOID THE ZERO-POWER TRAP IN TESTING FOR CORRELATION ⋮ ON THE POWER OF INVARIANT TESTS FOR HYPOTHESES ON A COVARIANCE MATRIX ⋮ Finite sample power of Clifford-type tests for spatial disturbance correlation in linear regres\-sion ⋮ On the sensitivity of the restricted least squares estimators to covariance misspecification ⋮ The power of unit root tests under local-to-finite variance errors ⋮ Finite‐sample power of the Durbin–Watson test against fractionally integrated disturbances ⋮ Conditional Information in Projections of Gaussian Vectors ⋮ The exact powers of some autocorrelation tests when the disturbances are heteroscedastic

Cites Work

• A point optimal test for autoregressive disturbances
• The power of the Durbin-Watson test for regressions without an intercept
• The alternative Durbin-Watson test. An assessment of Durbin and Watson's choice of test statistic
• A Simple Test for Serial Correlation in Regression Analysis
• The Power of the Durbin-Watson Test
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