Advanced Search
MyIDEAS: Login to save this article or follow this journal

The sensitivity of OLS when the variance matrix is (partially) unknown

Contents:

Author Info

  • Banerjee, Anurag N.
  • Magnus, Jan R.

Abstract

No abstract is available for this item.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.sciencedirect.com/science/article/B6VC0-3X6504C-4/2/c7da1caf30c2d7ec406b8ca71a0699b1
Download Restriction: Full text for ScienceDirect subscribers only

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 92 (1999)
Issue (Month): 2 (October)
Pages: 295-323

as in new window
Handle: RePEc:eee:econom:v:92:y:1999:i:2:p:295-323

Contact details of provider:
Web page: http://www.elsevier.com/locate/jeconom

Related research

Keywords:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Dufour, Jean-Marie & King, Maxwell L., 1991. "Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors," Journal of Econometrics, Elsevier, Elsevier, vol. 47(1), pages 115-143, January.
  2. Bartels, Robert, 1992. "On the power function of the Durbin-Watson test," Journal of Econometrics, Elsevier, Elsevier, vol. 51(1-2), pages 101-112.
  3. Blattberg, Robert C, 1973. "Evaluation of the Power of the Durbin-Watson Statistic for Non-First Order Serial Correlation Alternatives," The Review of Economics and Statistics, MIT Press, vol. 55(4), pages 508-15, November.
  4. Sargan, John Denis & Bhargava, Alok, 1983. "Testing Residuals from Least Squares Regression for Being Generated by the Gaussian Random Walk," Econometrica, Econometric Society, Econometric Society, vol. 51(1), pages 153-74, January.
  5. Kramer, W., 1985. "The power of the Durbin-Watson test for regressions without an intercept," Journal of Econometrics, Elsevier, Elsevier, vol. 28(3), pages 363-370, June.
  6. Andrew C. Harvey, 1990. "The Econometric Analysis of Time Series, 2nd Edition," MIT Press Books, The MIT Press, edition 2, volume 1, number 026208189x, December.
  7. King, Maxwell L. & Evans, Merran A., 1988. "Locally Optimal Properties of the Durbin-Watson Test," Econometric Theory, Cambridge University Press, vol. 4(03), pages 509-516, December.
  8. Breusch, T S & Pagan, A R, 1980. "The Lagrange Multiplier Test and Its Applications to Model Specification in Econometrics," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 47(1), pages 239-53, January.
  9. Griffiths, W.E. & Beesley, P.A.A., 1984. "The small-sample properties of some preliminary test estimators in a linear model with autocorrelated errors," Journal of Econometrics, Elsevier, Elsevier, vol. 25(1-2), pages 49-61.
  10. Fiebig, Denzil G. & McAleer, Michael & Bartels, Robert, 1992. "Properties of ordinary least squares estimators in regression models with nonspherical disturbances," Journal of Econometrics, Elsevier, Elsevier, vol. 54(1-3), pages 321-334.
  11. Knottnerus, Paul, 1985. "A Test Strategy for Discriminating between Autocorrelation and Misspecification in Regression Analysis: A Critical Note," The Review of Economics and Statistics, MIT Press, vol. 67(1), pages 175-77, February.
  12. King, M. L., 1981. "The alternative Durbin-Watson test : An assessment of Durbin and Watson's choice of test statistic," Journal of Econometrics, Elsevier, Elsevier, vol. 17(1), pages 51-66, September.
  13. King, M.L. & Giles, D.E.A., 1984. "Autocorrelation pre-testing in the linear model: Estimation, testing and prediction," Journal of Econometrics, Elsevier, Elsevier, vol. 25(1-2), pages 35-48.
  14. Thursby, Jerry G, 1981. "A Test Strategy for Discriminating between Autocorrelation and Misspecification in Regression Analysis," The Review of Economics and Statistics, MIT Press, vol. 63(1), pages 117-23, February.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Anurag Banerjee, 2004. "Sensitivity of OLS estimates against ARFIMA error process as small sample Test for long memory," Econometric Society 2004 Australasian Meetings 159, Econometric Society.
  2. Vasnev, Andrey L., 2010. "Sensitivity of GLS estimators in random effects models," Journal of Multivariate Analysis, Elsevier, vol. 101(5), pages 1252-1262, May.
  3. Banerjee, Anurag N. & Magnus, Jan R., 2000. "On the sensitivity of the usual t- and F-tests to covariance misspecification," Journal of Econometrics, Elsevier, Elsevier, vol. 95(1), pages 157-176, March.
  4. Wan, Alan & Zou, Guohua & Banerjee, Anurag, 2004. "The limiting power of autocorrelation tests in regression models with linear restrictions," Discussion Paper Series In Economics And Econometrics 0405, Economics Division, School of Social Sciences, University of Southampton.
  5. Omtzigt, Pieter & Paruolo, Paolo, 2005. "Impact factors," Journal of Econometrics, Elsevier, Elsevier, vol. 128(1), pages 31-68, September.
  6. Zhang, Xinyu & Chen, Ti & Wan, Alan T.K. & Zou, Guohua, 2009. "Robustness of Stein-type estimators under a non-scalar error covariance structure," Journal of Multivariate Analysis, Elsevier, vol. 100(10), pages 2376-2388, November.
  7. Magnus, J.R. & Vasnev, A.L., 2004. "Local Sensitivity and Diagnostic Tests," Discussion Paper, Tilburg University, Center for Economic Research 2004-105, Tilburg University, Center for Economic Research.
  8. O'Hara Hines, R.J. & Hines, W.G.S., 2007. "Covariance miss-specification and the local influence approach in sensitivity analyses of longitudinal data with drop-outs," Computational Statistics & Data Analysis, Elsevier, vol. 51(12), pages 5537-5546, August.
  9. Wan, Alan T.K. & Zou, Guohua & Banerjee, Anurag, 2007. "The power of autocorrelation tests near the unit root in models with possibly mis-specified linear restrictions," Economics Letters, Elsevier, vol. 94(2), pages 213-219, February.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:eee:econom:v:92:y:1999:i:2:p:295-323. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.