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The Estimated Power of Several Tests for Autocorrelation with Non-First-Order Alternatives

Pages 879-883 | Received 01 Dec 1973, Published online: 05 Apr 2012

References

  • Belsley , D. A. 1973 . “The Relative Power of the τ-Test: A Furthering Comment” . Review of Economics and Statistics , 55 February : 132
  • Blattberg , R. C. 1973 . “Evaluation of the Power of the Durbin-Watson Statistic for Non-First-Order Serial Correlation Alternatives” . Review of Economics and Statistics , 55 November : 508 – 15 .
  • Durbin , J. 1969 . “Tests for Serial Correlation in Regression Analysis Based on the Periodogram of Least Squares Residuals” . Biometrika , 56 ( No. 1 ) : 1 – 15 .
  • Durbin , J. 1970 . “An Alternative to the Bounds Test for Testing for Serial Correlation in Least Squares Regression” . Econometrica , 38 May : 422 – 9 .
  • Durbin , J. and Watson , G. S. 1950 . “Testing for Serial Correlation in Least Squares Regression I” . Biometrika , 37 ( No. 3 ) : 409 – 28 .
  • Durbin , J. and Watson , G. S. 1951 . “Testing for Serial Correlation in Least Squares Regression II” . Biometrika , 38 ( No. 2 ) : 159 – 78 .
  • Geary , R. C. 1970 . “Relative Efficiency of Count of Sign Changes for Assessing Residual Autocorrelation in Least Squares Regression” . Biometrika , 57 ( No. 1 ) : 123 – 7 .
  • Habibagahi , H. and Pratschke , J. L. 1972 . “A Comparison of the Power of the Von Neumann Ratio, Durbin-Watson and Geary Tests” . Review of Economics and Statistics , 54 May : 179 – 85 .
  • Imhof , J. P. 1961 . “Computing the Distribution of Quadratic Forms in Normal Variables” . Biometrika , 48 ( No. 3 ) : 419 – 26 .
  • L'Esperance , W. and Taylor , D. 1975 . “The Power of Four Tests of Autocorrelation in the Linear Regression Model” . Journal of Econometrics , 3 February : 1 – 22 .
  • Schmidt , P. 1972 . “A Generalization of the Durbin-Watson Test” . Australian Economic Papers , 11 December : 203 – 9 .
  • Schmidt , P. and Guilkey , D. K. 1975 . “Some Further Evidence on the Power of the Durbin-Watson and Geary Tests” . Review of Economics and Statistics , 57 August : 379 – 81 .
  • Tillman , J. A. 1975 . “The Power of the Durbin-Watson Test” . Econometrica , 43 September-November : 959 – 74 .

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