English, Article, Journal or magazine article edition: A Small-Sample Correction for Testing for gth-Order Serial Correlation with Artificial Regressions David A. Belsley

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Bookmark: http://trove.nla.gov.au/version/73160
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • A Small-Sample Correction for Testing for gth-Order Serial Correlation with Artificial Regressions
Author
  • David A. Belsley
Physical Description
  • preprint
Notes
  • RePEc:sce:scecf6:_008
  • Monte Carlo experiments establish that the usual "t-statistic" used for testing for first-order serial correlation with artificial regressions is far from being distributed as a Student's t in small samples. Rather, it is badly biased in both mean and variance and results in grossly misleading tests of hypotheses when treated as a Student's t. Simply computed corrections for the mean and variance are derived, however, which are shown to lead to a transformed statistic producing acceptable tests. The test procedure is detailed and exemplar code provided.
  • Serial correlation, hypothesis testing, size correction
  • RePEc:boc:bocoec:331
Language
  • English
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