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

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

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  • Banerjee, Anurag N. & Magnus, Jan R., 1999. "The sensitivity of OLS when the variance matrix is (partially) unknown," Journal of Econometrics, Elsevier, vol. 92(2), pages 295-323, October.
  • Handle: RePEc:eee:econom:v:92:y:1999:i:2:p:295-323
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    References listed on IDEAS

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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. Kramer, W., 1985. "The power of the Durbin-Watson test for regressions without an intercept," Journal of Econometrics, Elsevier, vol. 28(3), pages 363-370, June.
    3. 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.
    4. 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 508-515, November.
    5. Bartels, Robert, 1992. "On the power function of the Durbin-Watson test," Journal of Econometrics, Elsevier, vol. 51(1-2), pages 101-112.
    6. Fiebig, Denzil G. & McAleer, Michael & Bartels, Robert, 1992. "Properties of ordinary least squares estimators in regression models with nonspherical disturbances," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 321-334.
    7. Andrew C. Harvey, 1990. "The Econometric Analysis of Time Series, 2nd Edition," MIT Press Books, The MIT Press, edition 2, volume 1, number 026208189x, November.
    8. 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.
    9. King, M. L., 1981. "The alternative Durbin-Watson test : An assessment of Durbin and Watson's choice of test statistic," Journal of Econometrics, Elsevier, vol. 17(1), pages 51-66, September.
    10. T. S. Breusch & A. R. Pagan, 1980. "The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics," Review of Economic Studies, Oxford University Press, vol. 47(1), pages 239-253.
    11. 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.
    12. 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.
    13. 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.
    14. 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.
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    Cited by:

    1. 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.
    2. 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 405, Economics Division, School of Social Sciences, University of Southampton.
    3. 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.
    4. 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.
    5. Banerjee, Anurag N. & Magnus, Jan R., 2000. "On the sensitivity of the usual t- and F-tests to covariance misspecification," Journal of Econometrics, Elsevier, vol. 95(1), pages 157-176, March.
    6. Jan R. Magnus & Andrey L. Vasnev, 2007. "Local sensitivity and diagnostic tests," Econometrics Journal, Royal Economic Society, vol. 10(1), pages 166-192, March.
    7. Magnus, Jan R. & Vasnev, Andrey L., 2015. "Interpretation and use of sensitivity in econometrics, illustrated with forecast combinations," International Journal of Forecasting, Elsevier, vol. 31(3), pages 769-781.
    8. Qin, Huaizhen & Wan, Alan T.K. & Zou, Guohua, 2009. "On the sensitivity of the one-sided t test to covariance misspecification," Journal of Multivariate Analysis, Elsevier, vol. 100(8), pages 1593-1609, September.
    9. 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.
    10. Omtzigt, Pieter & Paruolo, Paolo, 2005. "Impact factors," Journal of Econometrics, Elsevier, vol. 128(1), pages 31-68, September.
    11. Vasnev, Andrey L., 2010. "Sensitivity of GLS estimators in random effects models," Journal of Multivariate Analysis, Elsevier, vol. 101(5), pages 1252-1262, May.
    12. 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.

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