Finite Sample of the Durbin-Watson Test against Fractionally Integrated Disturbances

Loading...
Thumbnail Image

Date

2004

Journal Title

Journal ISSN

Volume Title

Publisher

Universitätsbibliothek Dortmund

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.

Description

Table of contents

Keywords

Durbin-Watson test, power, autocorrelation, long memory

Citation