Finite sample behaviour of GNR tests for serial correlation

Erkin Bairam

Applied Economics Letters, 1996, vol. 3, issue 1, 55-57

Abstract: The Gauss-Newton regression (GNR) tests for autoregressive (AR) processes are based on the asymptotic theory. Consequently, their finite sample properties are not known. The objective of this paper is to remedy this by undertaking a Monte Carlo study. It is hoped that the results reported will shed some light on the small sample properties of the type of GNR tests discussed here.

Date: 1996
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.informaworld.com/openurl?genre=article& ... 40C6AD35DC6213A474B5 (text/html)
Access to full text is restricted to subscribers.

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:taf:apeclt:v:3:y:1996:i:1:p:55-57

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/758525518

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().