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

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.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.identifier.uri	http://hdl.handle.net/2003/4871
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-6663
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

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