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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
power
autocorrelation
long memory
JEL:C22
Document Type:Working Paper
Appears in Collections:Technical Reports, SFB 475: Komplexitätsreduktion in multivariaten Datenstrukturen, TU Dortmund

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