Exploration into power of homogeneity and serial correlation tests
Luboš Střelec and
Václav Adamec ()
Additional contact information
Václav Adamec: Department of Statistics and Operation Analysis, Mendel University in Brno, Zemědělská 1, 613 00, Brno, Czech Republic
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2013, vol. 61, issue 4, 1129-1136
Verification of regression models is primarily based on analysis of error terms and constitutes one of the most important steps in applied regression analysis. In cross-sectional models, the error terms are typically heteroskedastic, while in time series regressions the errors are often affected by serial correlation. Consequently, in this paper, we focus on Monte Carlo simulations applied to explore the power of several tests of homogeneity and tests for presence of autocorrelation. In the past decades, the computational power has increased significantly to allow the benefit of simulation from exact distributions, which are not defined explicitly. We will discuss 1) testing of homogeneity for a given number of components in the exponential mixture approximated by subpopulations and 2) simulation of power in several commonly used tests of autocorrelation. For the first case, we consider exact likelihood ratio test (ELR) and exact likelihood ratio test against the alternative with two-component subpopulation (ELR2). In the second case, we consider the Durbin-Watson, Durbin h, Breusch-Godfrey, Box-Pierce and Ljung-Box tests of 1st order serial correlation and the runs test of randomness in two different types of linear regression models.
Keywords: Monte Carlo simulation; power study; homogeneity; autocorrelation (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:mup:actaun:actaun_2013061041129
Access Statistics for this article
More articles in Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis from Mendel University Press
Bibliographic data for series maintained by Bohumir Valter ().