A Small-Sample Correction for Testing for gth-Order Serial Correlation with Artificial Regressions

David Belsley

No 331., Boston College Working Papers in Economics from Boston College Department of Economics

Abstract: Monte Carlo experiments establish that the usual "t-statistic" used for testing for first-order serial correlation with artificial regressions is far from being distributed as a Student's t in small samples. Rather, it is badly biased in both mean and variance and results in grossly misleading tests of hypotheses when treated as a Student's t. Simply computed corrections for the mean and variance are derived, however, which are shown to lead to a transformed statistic producing acceptable tests. The test procedure is detailed and exemplar code provided.

Keywords: Serial correlation; hypothesis testing; size correction (search for similar items in EconPapers)
JEL-codes: C12 C15 C19 C49 (search for similar items in EconPapers)
Pages: 51 pages
Date: 1996-01-01
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Related works:
Journal Article: A Small-Sample Correction for Testing for gth-Order Serial Correlation with Artificial Regressions (1997)
Working Paper: A Small-Sample Correction for Testing for gth-Order Serial Correlation with Artificial Regressions
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocoec:331

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