Finite-sample power of tests for autocorrelation in models containing lagged dependent variables

B. A. Inder

doi:10.1016/0165-1765(84)90080-6

Finite-sample power of tests for autocorrelation in models containing lagged dependent variables

B. A. Inder

Econometrics & Business Statistics

Research output: Contribution to journal › Article › Research › peer-review

24 Citations (Scopus)

Abstract

Monte Carlo evidence is presented to indicate that for a given size of the test, the Durbin-Watson test is more powerful than Durbin's h test in testing for autocorrelation in models with a lagged dependent variable.

Original language	English
Pages (from-to)	179-185
Number of pages	7
Journal	Economics Letters
Volume	14
Issue number	2-3
DOIs	https://doi.org/10.1016/0165-1765(84)90080-6
Publication status	Published - 1 Jan 1984

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title = "Finite-sample power of tests for autocorrelation in models containing lagged dependent variables",

abstract = "Monte Carlo evidence is presented to indicate that for a given size of the test, the Durbin-Watson test is more powerful than Durbin's h test in testing for autocorrelation in models with a lagged dependent variable.",

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AB - Monte Carlo evidence is presented to indicate that for a given size of the test, the Durbin-Watson test is more powerful than Durbin's h test in testing for autocorrelation in models with a lagged dependent variable.

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JO - Economics Letters

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IS - 2-3

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Finite-sample power of tests for autocorrelation in models containing lagged dependent variables

Abstract

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