Improved inference for first‐order autocorrelation using likelihood analysis

Marie Rekkas, Y. Sun and A. Wong

Journal of Time Series Analysis, 2008, vol. 29, issue 3, 513-532

Abstract: Abstract. Testing for first‐order autocorrelation in small samples using the standard asymptotic test can be seriously misleading. Recent methods in likelihood asymptotics are used to derive more accurate p‐value approximations for testing the autocorrelation parameter in a regression model. The methods are based on conditional evaluations and are thus specific to the particular data obtained. A numerical example and three simulations are provided to show that this new likelihood method provides higher order improvements and is superior in terms of central coverage even for autocorrelation parameter values close to unity.

Date: 2008
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https://doi.org/10.1111/j.1467-9892.2007.00567.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:29:y:2008:i:3:p:513-532

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