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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

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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  • Deng, Ai, 2010. "Local power of consistent tests for serial correlation against the nearly integrated, nearly white noise process," Economics Letters, Elsevier, vol. 107(1), pages 22-25, April.
    • Handle: RePEc:eee:ecolet:v:107:y:2010:i:1:p:22-25
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