A point optimal test for autoregressive disturbances
type: Item
instance of: scholarly article
title: A point optimal test for autoregressive disturbances
zbMATH Open document ID: 0556.62068
DOI: 10.1016/0304-4076(85)90042-9
author: Maxwell L. King
published in: Journal of Econometrics
publication date: 1985-01-01T00:00:00Z
review text: This paper is concerned with testing for first-order autoregressive disturbances in the linear regression model and recommends an alternative test to the Durbin-Watson test. The new test is most powerful invariant in a given neighbourhood of the alternative hypothesis parameter space. An empirical power comparison indicates that the test is generally more powerful than the Durbin-Watson test. The comparison also suggests that for many economic applications, the difference in power will be small, although circumstances do exist in which the power advantage of the new test is very real. Selected bounds for the test's significance points are tabulated.
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 62Q05
Mathematics Subject Classification ID: 62J05
zbMATH DE Number: 3886926
zbMATH Keywords: testing for first-order autoregressive disturbances
zbMATH Keywords: Durbin-Watson test
zbMATH Keywords: most powerful invariant
zbMATH Keywords: empirical power comparison
describes a project that uses: AS 155
describes a project that uses: AS 153
MaRDI profile type: Publication
full work available at URL: 0304-4076(85)90042-9
OpenAlex ID: W2085516189
cites work: Q5667897
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description: scientific article; zbMATH DE number 3886926