Finite-Sample Power of The Durbin-Watson Test Against Fractionally Integrated Disturbances  

Oleh:

Kleiber, Christian ; Kramer, Walter

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Econometrics Journal vol. 8 no. 3 (2005), page 406-417.
Topik: MEMORY; ARFIMA; autocorrelation; durbin–watson test; long memory; power
Fulltext: 406.pdf (128.58KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: EE39.1 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

We consider the finite - sample power of various tests against serial correlation in the disturbances of a linear regression model when these disturbances follow certain stationary long - memory processes. It emerges that the power depends on the form of the regressor matrix and that, for the Durbin – Watson test and many other tests that can be written as ratios of quadratic forms in the disturbances, the power can drop to zero as the long - memory parameter approaches the boundary of the stationarity region. The problem does not arise when the regression includes an intercept. We also provide a means to detect this zero - power trap for given regressors. Our analytical results are illustrated using fractionally integrated white noise and ARFIMA (1, d, 0) disturbances with artificial regressors and with a real data set.

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