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Testing for no autocorrelation using a modified Lobato test

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Author Info
Jen-Je Su () (Department of Applied and International Economics, Massey University (New Zealand))
Abstract

This paper suggests modifying the Lobato test for no autocorrelation by using the bandwidth parameter (M) of the covariance estimator as a fixed proportion of the sample size (T): M=bT, where b (0,1] is a constant. It is shown by means of simulations that the modified test has good control over size regardless the choice of b and a higher testing power can be achieved if a mall b is chosen.

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File URL: http://www.economicsbulletin.com/2004/volume3/EB-04C20025A.pdf
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Publisher Info
Article provided by Economics Bulletin in its journal Economics Bulletin.

Volume (Year): 3 (2004)
Issue (Month): 46 ()
Pages: 1-9
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Handle: RePEc:ebl:ecbull:v:3:y:2004:i:46:p:1-9

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Related research
Keywords: autocorrelation; bandwidth; the Lobato test; Monte Carlo simulation;

Find related papers by JEL classification:
C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables

References listed on IDEAS
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  1. Michael Jansson, 2004. "The Error in Rejection Probability of Simple Autocorrelation Robust Tests," Econometrica, Econometric Society, vol. 72(3), pages 937-946, 05. [Downloadable!] (restricted)
  2. Kiefer, Nicholas M. & Vogelsang, Timothy J., 2005. "A New Asymptotic Theory For Heteroskedasticity-Autocorrelation Robust Tests," Econometric Theory, Cambridge University Press, vol. 21(06), pages 1130-1164, December. [Downloadable!]
    Other versions:
  3. Lobato I. N., 2001. "Testing That a Dependent Process Is Uncorrelated," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 1066-1076, September. [Downloadable!] (restricted)
  4. Lobato, I.N. & Nankervis, John C. & Savin, N.E., 2002. "Testing For Zero Autocorrelation In The Presence Of Statistical Dependence," Econometric Theory, Cambridge University Press, vol. 18(03), pages 730-743, June. [Downloadable!]
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This page was last updated on 2009-11-16.

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