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Local power of consistent tests for serial correlation against the nearly integrated, nearly white noise process

Ai Deng ()

Economics Letters, 2010, vol. 107, issue 1, 22-25

Abstract: We show that any consistent tests for serial correlation have unit local power against the nearly integrated, nearly white noise process. The expected higher power is confirmed in finite sample Monte Carlo simulations.

Keywords: ARMA(1; 1) Local power Nearly integrated Nearly white noise process (search for similar items in EconPapers)
Date: 2010
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Handle: RePEc:eee:ecolet:v:107:y:2010:i:1:p:22-25