Power Comparison of Autocorrelation Tests in Dynamic Models

Erum Toor () and Tanweer Islam
Additional contact information
Erum Toor: Graduate, National University of Sciences and Technology, Islamabad, Pakistan.

International Econometric Review (IER), 2019, vol. 11, issue 2, 58-69

Abstract: The four most readily available tests of autocorrelation in dynamic models namely Durbin's M test, Durbin's H test, Breusch-Godfrey (BGF) test and Ljung and Box (Q) test are compared in terms of their power for varying sample sizes, levels of autocorrelation and significance using Monte Carlo simulations in STATA. Power comparison reveals that the Durbin M test is the best option for testing the hypothesis of no autocorrelation in dynamic models for all sample sizes. Breusch-Godfrey's test has comparable and at times minutely better performance than Durbin's M test however in small sample sizes, Durbin's M test outperforms the Breusch-Godfrey test in terms of power. The Durbin H and the Ljung and Box Q tests consistently occupy the second last and last positions respectively in terms of power performance with maximum power gap of 63 and 60% respectively from the best test (M test).

Keywords: Durbin Test; Breusch-Godfrey Test; Ljung and Box Test. (search for similar items in EconPapers)
JEL-codes: C60 C63 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.era.org.tr/makaleler/447133.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:erh:journl:v:11:y:2019:i:2:p:58-69

Access Statistics for this article

International Econometric Review (IER) is currently edited by Asad Zaman

More articles in International Econometric Review (IER) from Econometric Research Association Contact information at EDIRC.
Bibliographic data for series maintained by M. F. Cosar ().