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自相关稳健检验的尺寸控制
Autocorrelation robust tests are notorious for suffering from size distortions and power problems. We investigate under which conditions the size of autocorrelation robust tests can be controlled by an appropriate choice of critical value.
协方差矩阵假设的不变检验功效
The behavior of the power function of autocorrelation tests such as the Durbin–Watson test in time series regressions or the Cliff-Ord test in spatial regression models has been intensively studied in the literature. When the correlation becomes strong, Krämer (1985, Journal of Econometrics 28, 363–370.) (for the Durbin–Watson test) and Krämer (2005, Journal of Statistical Planning and Inference , 128, 489–496) (for the Cliff-Ord test) have shown that power can be very low,…
异方差与自相关稳健检验的检验水平和功效
Testing restrictions on regression coefficients in linear models often requires correcting the conventional F-test for potential heteroskedasticity or autocorrelation amongst the disturbances, leading to so-called heteroskedasticity and autocorrelation robust test procedures. These procedures have been developed with the purpose of attenuating size distortions and power deficiencies present for the uncorrected F-test. We develop a general theory to establish positive as well…