The Limiting Power of Point Optimal Autocorrelation Tests
Small, John P.
1991

Files

Abstract

This paper considers the point optimal tests for AR(l) errors in the linear regression model. It is shown that these tests have the same limiting power characteristics as the Durbin-Watson test. The limiting power is zero or one when the regression has no intercept, but lies strictly between these values when an intercept is included.

Details

Title The Limiting Power of Point Optimal Autocorrelation Tests
Author(s) Small, John P.
Subject(s)
Issue Date Jul 07 1991
Publication Type Working or Discussion Paper
DOI and Other Identifiers 10.22004/ag.econ.263070
Record Identifier https://ageconsearch.umn.edu/record/263070
Language English
Total Pages 14
Series Statement 9110
Record Appears in University of Canterbury - New Zealand > Department of Economics Discussion Papers

PDF

Statistics

from
to
Export
Download Full History