Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors
type: Item
instance of: scholarly article
title: Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors
zbMATH Open document ID: 0729.62079
DOI: 10.1016/0304-4076(91)90080-W
author: Jean-Marie Dufour
author: Maxwell L. King
published in: Journal of Econometrics
publication date: 1991-01-01T00:00:00Z
review text: Consider a linear regression model with first-order autoregressive normal disturbances. Let \(\rho\) denote the autocorrelation coefficient of the process. The paper constructs optimal invariant tests of the null hypothesis \(H_ 0: \rho =\rho_ 0\) against the alternatives \(H_ a^+: \rho >\rho_ 0\) and \(H_ a^-: \rho <\rho_ 0\), where \(\rho_ 0\) is any admissible value of \(\rho\). Both locally best invariant and point-optimal invariant tests are derived for stationary as well as nonstationary processes. Numerical comparisons of the powers of alternative tests are provided. The point-optimal tests are found to be usually preferable to locally best tests, especially when values of \(\rho\) equal to or greater than one are tested.
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62H15
Mathematics Subject Classification ID: 62J05
zbMATH DE Number: 4205672
zbMATH Keywords: tests for independence
zbMATH Keywords: tests for unit-root hypotheses
zbMATH Keywords: numerical power comparisons
zbMATH Keywords: first-order autoregressive normal disturbances
zbMATH Keywords: autocorrelation coefficient
zbMATH Keywords: optimal invariant tests
zbMATH Keywords: locally best invariant
zbMATH Keywords: point-optimal invariant tests
reviewed by: Petre Stoica
describes a project that uses: AS 155
MaRDI profile type: Publication
cites work: Q5788953
cites work: On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
cites work: Q5667897
cites work: On the Theory of Testing for Unit Roots in Observed Time Series
cites work: Algorithm AS 155: The Distribution of a Linear Combination of χ 2 Random Variables
cites work: Distribution of the Estimators for Autoregressive Time Series With a Unit Root
cites work: Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
cites work: Exact Tests and Confidence sets in Linear Regressions with Autocorrelated Errors
cites work: Q5799101
cites work: TESTING FOR SERIAL CORRELATION IN LEAST SQUARES REGRESSION. II
cites work: Q5631971
cites work: Testing For Unit Roots: 1
cites work: Testing for Unit Roots: 2
cites work: Computing the distribution of quadratic forms in normal variables
cites work: Robust tests for spherical symmetry and their application to least squares regression
cites work: Q4207502
cites work: Q3716079
cites work: Q5631939
cites work: The power of the Durbin-Watson test for regressions without an intercept
cites work: Q3747485
cites work: The properties of some covariance matrix estimators in linear models with AR(1) errors
cites work: Testing the autoregressive parameter with the t statistic
cites work: Estimating the autocorrelated error model with trended data
cites work: Time Series Regression with a Unit Root
cites work: Towards a unified asymptotic theory for autoregression
cites work: Multiple Time Series Regression with Integrated Processes
cites work: Asymptotic distribution of an estimator of the boundary parameter of an unstable process
cites work: Testing Residuals from Least Squares Regression for Being Generated by the Gaussian Random Walk
cites work: Approximation to the Finite Sample Distribution for Nonstable First Order Stochastic Difference Equations
cites work: SERIAL CORRELATION IN REGRESSION ANALYSIS. I
full work available at URL: 0304-4076(91)90080-w
OpenAlex ID: W2263785007
description: scientific article; zbMATH DE number 4205672