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  • Testing for no autocorrelation using a modified Lobato test

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    Author(s)
    Su, Jen-Je
    Griffith University Author(s)
    Su, Jen-Je
    Year published
    2004
    Metadata
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    Abstract
    This paper suggests modifying the Lobato test for no autocorrelation by using the bandwidth parameter (M) of the covariance estimator as a fixed proportion of the sample size (T): M=bT, where b (0,1] is a constant. It is shown by means of simulations that the modified test has good control over size regardless the choice of b and a higher testing power can be achieved if a mall b is chosen.This paper suggests modifying the Lobato test for no autocorrelation by using the bandwidth parameter (M) of the covariance estimator as a fixed proportion of the sample size (T): M=bT, where b (0,1] is a constant. It is shown by means of simulations that the modified test has good control over size regardless the choice of b and a higher testing power can be achieved if a mall b is chosen.
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    Journal Title
    Economics Bulletin
    Volume
    3
    Issue
    46
    Publisher URI
    http://www.economicsbulletin.com/
    Copyright Statement
    © The Author(s) 2004. The attached file is reproduced here in accordance with the copyright policy of the publisher. For information about this journal please refer to the publisher’s website or contact the author.
    Subject
    Economics
    Publication URI
    http://hdl.handle.net/10072/27754
    Collection
    • Journal articles

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