Abstract
Inference on the autocorrelation coefficient ρ{variant} of a linear regression model with first-order autoregressive normal disturbances is studied. Both stationary and nonstationary processes are considered. Locally best and point-optimal invariant tests for any given value of ρ{variant} are derived. Special cases of these tests include tests for independence and tests for unit-root hypotheses. The powers of alternative tests are compared numerically for a number of selected testing problems and for a range of design matrices. The results suggest that point-optimal tests are usually preferable to locally best tests, especially for testing values of ρ{variant} greater than or equal to one.
Original language | English |
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Pages (from-to) | 115-143 |
Number of pages | 29 |
Journal | Journal of Econometrics |
Volume | 47 |
Issue number | 1 |
DOIs | |
Publication status | Published - Jan 1991 |