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| Titel: |
Edgeworth-adjusting test statistics for ar(1) errors |
| Auteur: |
Magee, Lonnie |
| Verschenen in: |
Communications in statistics |
| Paginering: | Jaargang 20 (1991) nr. 4 pagina's 901-917 |
| Jaar: |
1991 |
| Inhoud: |
Several Edgeworth size-adjusted test statistics for the linear regression model with AR(1) errors are assessed by simulation. The size/power tradeoff is important since the alternative adjustments can be ordered. This tradeoff is handled by computing weighted average mean squared errors of the resulting pretest estimators for a variety of weights on the true coefficient value. The recommended correction gives a test that is equivalent in finite samples to the test that uses Rothenberg's (1984) critical value adjustment. This correction leaves more over-rejection than the others, but has higher power. The recommended correction gives a test that is equivalent in finite samples to the test that uses Rothenberg's (1984) critical value adjustment. This correction leaves more over-rejection than the others, but has higher power. |
| Uitgever: |
Taylor & Francis |
| Bronbestand: |
Elektronische Wetenschappelijke Tijdschriften |
Details van artikel 5 van 19 gevonden artikelen
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