Testing for fourth-order autocorrelation in regression disturbances when first-order autocorrrelation is present

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This paper considers the problem of testing the null hypothesis of first-order autoregressive disturbances in the linear regression model against the alternative that the disturbances follow a joint first-order, simple fourth-order autoregressive process. The class of approximate point-optimal invariant tests are discussed and rules are given for choosing an appropriate member from this class of tests. The beneficial nature of these rules is illustrated by a limited empirical power comparison which shows the recommended test has good small-sample power properties.

Original languageEnglish
Pages (from-to)285-301
Number of pages17
JournalJournal of Econometrics
Issue number3
Publication statusPublished - Jul 1989

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