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Local power of consistent tests for serial correlation against the nearly integrated, nearly white noise process

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  • Deng, Ai
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Abstract

We show that any consistent tests for serial correlation have unit local power against the nearly integrated, nearly white noise process. The expected higher power is confirmed in finite sample Monte Carlo simulations.

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File URL: http://www.sciencedirect.com/science/article/B6V84-4Y0517H-1/2/083b47a7c78140733ec75ef9093f9277
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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 107 (2010)
Issue (Month): 1 (April)
Pages: 22-25

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Handle: RePEc:eee:ecolet:v:107:y:2010:i:1:p:22-25

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Web page: http://www.elsevier.com/locate/ecolet

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Keywords: ARMA(1; 1) Local power Nearly integrated Nearly white noise process;

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  1. Perron, P. & Ng, S., 1996. "An Autoregressive Spectral Density Estimator at Frequency Zero for Nonstationarity Tests," Cahiers de recherche 9611, Centre interuniversitaire de recherche en ├ęconomie quantitative, CIREQ.
  2. King, Maxwell L & McAleer, Michael, 1987. "Further Results on Testing AR (1) against MA (1) Disturbances in the Linear Regression Model," Review of Economic Studies, Wiley Blackwell, vol. 54(4), pages 649-63, October.
  3. Nabeya, S. & Perron, P., 1991. "Local Asymtotic Distributions Related to the AR(1) MOdel with Dependent Errors," Papers 362, Princeton, Department of Economics - Econometric Research Program.
  4. Perron, Pierre & Ng, Serena, 1996. "Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties," Review of Economic Studies, Wiley Blackwell, vol. 63(3), pages 435-63, July.
  5. Godfrey, Leslie G, 1978. "Testing for Higher Order Serial Correlation in Regression Equations When the Regressors Include Lagged Dependent Variables," Econometrica, Econometric Society, vol. 46(6), pages 1303-10, November.
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