Prior research (Belsley, 1997) has established that the common tests for single orders of serial correlation (e.g., Durbin–Watson, artificial regression) are badly distorted and result in grossly misleading tests in small samples. A corrected t-statistic has been derived that removes these difficulties, but it cannot be applied to joint tests. This research provides the needed generalizations. First it shows, to no surprise, that the same distortions plague the F-statistic typically used for testing joint orders of serial correlation with artificial regressions. And second it derives a corrected F-statistic that provides acceptable tests for arbitrarily stipulated joint orders of serial correlation. The test procedure is detailed and exemplar code provided.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
file. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.