The Exact Powers of Some Autocorrelation Tests when the Disturbances are Heteroscedastic

John P. Small

No 263071, Department of Economics Discussion Papers from University of Canterbury - New Zealand

Abstract: This paper considers the exact finite sample powers of five popular tests for AR(1) disturbances when one of several types of heteroscedasticity is also preseut. Severe reductions in power are found, particularly under strong positive autocorrelation. Factors influencing these power reductions are identified analytically and the limiting powers are also considered.

Keywords: Agricultural Finance; Financial Economics (search for similar items in EconPapers)
Pages: 41
References: Add references at CitEc
Citations:

Downloads: (external link)
https://ageconsearch.umn.edu/record/263071/files/canterbury-nz-044.pdf (application/pdf)
https://ageconsearch.umn.edu/record/263071/files/c ... 4.pdf?subformat=pdfa (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:ags:canzdp:263071

DOI: 10.22004/ag.econ.263071

Access Statistics for this paper

More papers in Department of Economics Discussion Papers from University of Canterbury - New Zealand Contact information at EDIRC.
Bibliographic data for series maintained by AgEcon Search ().