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Testing the Sensitivity of OLS when the Variance Maxtrix is (Partially) Unknown

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  • Banerjee, A.N.
  • Magnus, J.R.

    (Tilburg University, School of Economics and Management)

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  • Banerjee, A.N. & Magnus, J.R., 1996. "Testing the Sensitivity of OLS when the Variance Maxtrix is (Partially) Unknown," Other publications TiSEM e942b349-586c-4201-9228-0, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:e942b349-586c-4201-9228-08939e18f501
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    1. Sargan, John Denis & Bhargava, Alok, 1983. "Testing Residuals from Least Squares Regression for Being Generated by the Gaussian Random Walk," Econometrica, Econometric Society, vol. 51(1), pages 153-174, January.
    2. King, M.L. & Giles, D.E.A., 1984. "Autocorrelation pre-testing in the linear model: Estimation, testing and prediction," Journal of Econometrics, Elsevier, vol. 25(1-2), pages 35-48.
    3. Bartels, Robert, 1992. "On the power function of the Durbin-Watson test," Journal of Econometrics, Elsevier, vol. 51(1-2), pages 101-112.
    4. Farebrother, R W, 1980. "The Durbin-Watson Test for Serial Correlation When There Is No Intercept in the Regression," Econometrica, Econometric Society, vol. 48(6), pages 1553-1563, September.
    5. 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, vol. 47(1), pages 115-143, January.
    6. T. S. Breusch & A. R. Pagan, 1980. "The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 47(1), pages 239-253.
    7. 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, vol. 25(1-2), pages 49-61.
    8. 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 175-177, February.
    9. Tillman, John A, 1975. "The Power of the Durbin-Watson Test," Econometrica, Econometric Society, vol. 43(5-6), pages 959-974, Sept.-Nov.
    10. 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 117-123, February.
    11. King, Maxwell L. & Evans, Merran A., 1988. "Locally Optimal Properties of the Durbin-Watson Test," Econometric Theory, Cambridge University Press, vol. 4(3), pages 509-516, December.
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