Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Kleiber, Christian | de |
dc.contributor.author | Krämer, Walter | de |
dc.date.accessioned | 2004-12-06T18:38:48Z | - |
dc.date.available | 2004-12-06T18:38:48Z | - |
dc.date.issued | 2004 | de |
dc.identifier.uri | http://hdl.handle.net/2003/4871 | - |
dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-6663 | - |
dc.description.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. | en |
dc.format.extent | 103124 bytes | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | en | de |
dc.publisher | Universitätsbibliothek Dortmund | de |
dc.subject | Durbin-Watson test | en |
dc.subject | power | en |
dc.subject | autocorrelation | en |
dc.subject | long memory | en |
dc.subject.ddc | 310 | de |
dc.title | Finite Sample of the Durbin-Watson Test against Fractionally Integrated Disturbances | en |
dc.type | Text | de |
dc.type.publicationtype | report | en |
dcterms.accessRights | open access | - |
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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