Critical value approximations for tests of linear regression disturbances

Merran A. Evans, Maxwell L. King

Research output: Contribution to journalArticleResearchpeer-review

27 Citations (Scopus)

Abstract

Two 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 accuracy.

Original languageEnglish
Pages (from-to)68-83
Number of pages16
JournalAustralian Journal of Statistics
Volume27
Issue number1
DOIs
Publication statusPublished - Apr 1985

Keywords

  • Autocorrelation
  • Critical value approximations
  • Durbin‐Watson test
  • Heteroscedasticity
  • Linear regression
  • Locally best invariant tests

Cite this