Testing for no autocorrelation using a modified Lobato test

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Author(s)
Su, Jen-Je
Griffith University Author(s)
Year published
2004
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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
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