Testing for Fourth-Order Autocorrelation in Regression Disturbances When First-Order Autocorrelation is Present

Maxwell L. King

No 266865, Department of Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: This paper considers the problem of testing the null hypothesis of firstorder autoregressive disturbances in the linear regression model against the alternative that the disturbances follow a joint first-order, simplefourth- order autoregressive process. The class of approximate point optimal invariant tests are discussed and rules are given for choosing an appropriate member from this class of tests. The beneficial nature of these rules are illustrated by a limited empirical power comparison which shows the recommended test has good small sample power properties.

Keywords: Research; Methods/Statistical; Methods (search for similar items in EconPapers)
Pages: 32
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Persistent link: https://EconPapers.repec.org/RePEc:ags:monebs:266865

DOI: 10.22004/ag.econ.266865

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