The Limiting Power of Point Optimal Autocorrelation Tests

John P. Small

No 263070, Department of Economics Discussion Papers from University of Canterbury - New Zealand

Abstract: This paper considers the point optimal tests for AR(l) errors in the linear regression model. It is shown that these tests have the same limiting power characteristics as the Durbin-Watson test. The limiting power is zero or one when the regression has no intercept, but lies strictly between these values when an intercept is included.

Keywords: Agricultural Finance; Financial Economics (search for similar items in EconPapers)
Pages: 14
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Persistent link: https://EconPapers.repec.org/RePEc:ags:canzdp:263070

DOI: 10.22004/ag.econ.263070

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