Testing for no autocorrelation using a modified Lobato test

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Su, Jen-Je
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2004
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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.

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Economics Bulletin

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3

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46

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© 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.

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Economics

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