CRITICAL VALUE APPROXIMATIONS FOR TESTS OF LINEAR REGRESSION DISTURBANCES
作者:
Merran A. Evans,
Maxwell L. King,
期刊:
Australian Journal of Statistics
(WILEY Available online 1985)
卷期:
Volume 27,
issue 1
页码: 68-83
ISSN:0004-9581
年代: 1985
DOI:10.1111/j.1467-842X.1985.tb00549.x
出版商: Blackwell Publishing Ltd
关键词: Autocorrelation;Critical value approximations;Durbin‐Watson test;Heteroscedasticity;Linear regression;Locally best invariant tests
数据来源: WILEY
摘要:
summaryTwo important classes of tests for non‐spherical disturbances in the linear regression model involve test statistics whose null distributions and hence critical values depend on the regressors. This paper investigates the accuracy of the normal, two moment beta and four moment beta approximations to the critical values of such tests. An empirical experiment aimed at evaluating the accuracy of the approximations for a variety of tests against autocorrelation and heteroscedasticity is conducted. Overall the approximations are found to provide reasonably accurate critical values with skewness being a factor determining the degree of accurac
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