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Alternative size corrections for some GLS test statistics the case of the AR(1) model

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  • Magdalinos, Michael A.
  • Symeonides, Spyridon D.

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  • Magdalinos, Michael A. & Symeonides, Spyridon D., 1995. "Alternative size corrections for some GLS test statistics the case of the AR(1) model," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 35-59.
    • Handle: RePEc:eee:econom:v:66:y:1995:i:1-2:p:35-59
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    1. Breusch, Trevor S., 1980. "Useful invariance results for generalized regression models," Journal of Econometrics, Elsevier, vol. 13(3), pages 327-340, August.
    2. Beach, Charles M & MacKinnon, James G, 1978. "A Maximum Likelihood Procedure for Regression with Autocorrelated Errors," Econometrica, Econometric Society, vol. 46(1), pages 51-58, January.
    3. P. J. Dhrymes, 1969. "Alternative Asymptotic Tests of Significance and Related Aspects of 2SLS and 3SLS Estimated Parameters," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 36(2), pages 213-226.
    4. Morimune, Kimio & Tsukuda, Yoshihiko, 1984. "Testing a Subset of Coefficients in a Structural Equation," Econometrica, Econometric Society, vol. 52(2), pages 427-448, March.
    5. Magdalinos, Michael A., 1985. "Improving Some Instrumental Variables Test Procedures," Econometric Theory, Cambridge University Press, vol. 1(2), pages 240-262, August.
    6. Kunitomo, Naoto & Morimune, Kimio & Tsukuda, Yoshihiko, 1983. "Asymptotic Expansions of the Distributions of the Test Statistics for Overidentifying Restrictions in a System of Simultaneous Equations," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 24(1), pages 199-215, February.
    7. Magee, Lonnie, 1989. "An Edgeworth Test Size Correction for the Linear Model with AR(1) Errors," Econometrica, Econometric Society, vol. 57(3), pages 661-674, May.
    8. Rothenberg, Thomas J, 1988. "Approximate Power Functions for Some Robust Tests of Regression Coefficients," Econometrica, Econometric Society, vol. 56(5), pages 997-1019, September.
    9. Magee, Lonnie, 1985. "Efficiency of iterative estimators in the regression model with AR(1) disturbances," Journal of Econometrics, Elsevier, vol. 29(3), pages 275-287, September.
    10. Magdalinos, Michael A., 1992. "Stochastic Expansions and Asymptotic Approximations," Econometric Theory, Cambridge University Press, vol. 8(3), pages 343-367, September.
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    1. Symeonides Spyridon D. & Karavias Yiannis & Tzavalis Elias, 2017. "Size corrected Significance Tests in Seemingly Unrelated Regressions with Autocorrelated Errors," Journal of Time Series Econometrics, De Gruyter, vol. 9(1), pages 1-41, January.
    2. repec:rmk:rmkbae:v:9:y:mics:i:2:p:9(2 is not listed on IDEAS
    3. Karavias, Yiannis & Symeonides, Spyridon D. & Tzavalis, Elias, 2018. "Higher order expansions for error variance matrix estimates in the Gaussian AR(1) linear regression model," Statistics & Probability Letters, Elsevier, vol. 135(C), pages 54-59.

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