کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5062559 | 1371869 | 2007 | 7 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The power of autocorrelation tests near the unit root in models with possibly mis-specified linear restrictions
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
It is well known that the Durbin-Watson and several other tests for first-order autocorrelation have limiting power of either zero or one in a linear regression model without an intercept, and a constant lying strictly between these values when an intercept term is present. This paper considers the limiting power of these tests in models with possibly incorrect restrictions on the coefficients. It is found that with linear restrictions on the coefficients, the limiting power can still drop to zero even with the inclusion of an intercept in the regression. Our results also accommodate the situation of a possibly mis-specified linear model.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economics Letters - Volume 94, Issue 2, February 2007, Pages 213-219
Journal: Economics Letters - Volume 94, Issue 2, February 2007, Pages 213-219
نویسندگان
Alan T.K. Wan, Guohua Zou, Anurag Banerjee,