On the robustness of the F-test to autocorrelation among disturbances

DOI10.1016/0165-1765(89)90153-5zbMath1328.62426OpenAlexW2091408790MaRDI QIDQ902663

N. E. Zubov

Publication date: 1 January 2016

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(89)90153-5

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Parametric hypothesis testing (62F03)

Related Items (5)

Autocorrelation- and heteroskedasticity-consistent \(t\)-values with trending data ⋮ Testing for cross-sectional dependence in a panel factor model using the wild bootstrap \(F\) test ⋮ 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 ⋮ ON SIZE AND POWER OF HETEROSKEDASTICITY AND AUTOCORRELATION ROBUST TESTS

Cites Work

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• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• The power of the Durbin-Watson test for regressions without an intercept
• Robustness to non-normality of regression tests

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