Testing for no autocorrelation using a modified Lobato test
Loading...
File version
Author(s)
Su, Jen-Je
Griffith University Author(s)
Primary Supervisor
Other Supervisors
Editor(s)
Date
2004
Size
64904 bytes
File type(s)
application/pdf
Location
License
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.
Journal Title
Economics Bulletin
Conference Title
Book Title
Edition
Volume
3
Issue
46
Thesis Type
Degree Program
School
Publisher link
DOI
Patent number
Funder(s)
Grant identifier(s)
Rights Statement
Rights 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.
Item Access Status
Note
Access the data
Related item(s)
Subject
Economics