The Exact Powers of Some Autocorrelation Tests when the Disturbances are Heteroscedastic
Small, John P.
1991

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Abstract

This paper considers the exact finite sample powers of five popular tests for AR(1) disturbances when one of several types of heteroscedasticity is also preseut. Severe reductions in power are found, particularly under strong positive autocorrelation. Factors influencing these power reductions are identified analytically and the limiting powers are also considered.

Details

Title The Exact Powers of Some Autocorrelation Tests when the Disturbances are Heteroscedastic
Author(s) Small, John P.
Subject(s)
Issue Date Sep 09 1991
Publication Type Working or Discussion Paper
DOI and Other Identifiers 10.22004/ag.econ.263071
Record Identifier https://ageconsearch.umn.edu/record/263071
Language English
Total Pages 41
Series Statement 9111
Record Appears in University of Canterbury - New Zealand > Department of Economics Discussion Papers

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