EconStor >
Technische Universität Dortmund >
Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, Technische Universität Dortmund >
Technical Reports, SFB 475: Komplexitätsreduktion in multivariaten Datenstrukturen, TU Dortmund >

Please use this identifier to cite or link to this item:
Title:Finite sample of the Durbin-Watson test against fractionally integrated disturbances PDF Logo
Authors:Kleiber, Christian
Krämer, Walter
Issue Date:2004
Series/Report no.:Technical Report // Universität Dortmund, SFB 475 Komplexitätsreduktion in Multivariaten Datenstrukturen 2004,15
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.
Subjects:Durbin-Watson test
long memory
Document Type:Working Paper
Appears in Collections:Technical Reports, SFB 475: Komplexitätsreduktion in multivariaten Datenstrukturen, TU Dortmund

Files in This Item:
File Description SizeFormat
384011888.pdf100.71 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.