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A Small-Sample Correction for Testing for Joint Serial Correlation with Artificial Regressions

โœ Scribed by David A. Belsley

Book ID
110267060
Publisher
Springer US
Year
2000
Tongue
English
Weight
181 KB
Volume
16
Category
Article
ISSN
1572-9974

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๐Ÿ“œ SIMILAR VOLUMES

The relative power of zero-padding when
The relative power of zero-padding when testing for serial correlation using artificial regressions
โœ David A. Belsley ๐Ÿ“‚ Article ๐Ÿ“… 1996 ๐Ÿ› Springer US ๐ŸŒ English โš– 975 KB

Artificial regression allows a simple and flexible test of serial correlation with many virtues that promote it, in principle, to a position of dominance. But it has a serious small-sample problem: successively truncated lagged residual regressors reduce limited d. of f. twice, simultaneously reduci