Authors: | Kleiber, Christian Krämer, Walter |
Title: | Finite Sample of the Durbin-Watson Test against Fractionally Integrated Disturbances |
Language (ISO): | en |
Abstract: | We consider the finite sample power of various tests against serial correlation in the disturbances of a linear regression when these disturbances follow a stationary long memory process. It emerges that the power depends on the form of the regressor matrix and that, for the Durbin-Watson test and many other tests that can be written as ratios of quadratic forms in the disturbances, the power can drop to zero for certain regressors. We also provide a means to detect this zero-power trap. Our results depend solely on the correlation structure and allow for fairly arbitrary nonlinearities. |
Subject Headings: | Durbin-Watson test power autocorrelation long memory |
URI: | http://hdl.handle.net/2003/4871 http://dx.doi.org/10.17877/DE290R-6663 |
Issue Date: | 2004 |
Provenance: | Universitätsbibliothek Dortmund |
Appears in Collections: | Sonderforschungsbereich (SFB) 475 |
Files in This Item:
File | Description | Size | Format | |
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tr15-04.pdf | DNB | 100.71 kB | Adobe PDF | View/Open |
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