Testing for Serial Independence in Error Components Models: Finite Sample Results

A popular class of tests for simple autoregressive processes is considered in the context of the error components model previously discussed by Revanker (1980) and King (1982). We show that the expected value of all such test statistics is further from the rejection region in this model, relative to the classical model. More importantly, as the degree of positive autocorrelation becomes very strong, the power of each test must decline to its level of significance, irrespective of the data.


Issue Date:
Jun 01 1993
Publication Type:
Working or Discussion Paper
Language:
English
Total Pages:
15
Series Statement:
9309




 Record created 2017-09-28, last modified 2017-09-28

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