The Estimated Power of Several Tests for Autocorrelation with Non-First-Order Alternatives
作者:
V.Kerry Smith,
期刊:
Journal of the American Statistical Association
(Taylor Available online 1976)
卷期:
Volume 71,
issue 356
页码: 879-883
ISSN:0162-1459
年代: 1976
DOI:10.1080/01621459.1976.10480962
出版商: Taylor & Francis Group
数据来源: Taylor
摘要:
This article presents estimates of the power of four tests for the independence of the disturbances from linear regression models with two sets of alternative hypotheses—second-order autoregressive processes and first-order moving average processes. The results indicate that for a number of specifications of the second-order autoregressive error structure the Durbin-Watson and Durbin alternative exact tests are more powerful than a test designed for this class of alternatives. With models including first-order moving average errors the Durbin-Watson and Durbin alternative exact test are consistently more powerful than the other tests studied for all model specifications and sample sizes.
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