On the sensitivity of the usual t- and F-tests to covariance misspecification
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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.
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- Dufour, Jean-Marie, 1990.
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- Nakamura, Alice & Nakamura, Masao, 1978. "On the impact of the tests for serial correlation upon the test of significance for the regression coefficient," Journal of Econometrics, Elsevier, vol. 7(2), pages 199-210, June.
- Rothernberg, Thomas J, 1984. "Hypothesis Testing in Linear Models When the Error Covariance Matrix Is Nonscalar," Econometrica, Econometric Society, vol. 52(4), pages 827-42, July.
- Park, Rolla Edward & Mitchell, Bridger M., 1980. "Estimating the autocorrelated error model with trended data," Journal of Econometrics, Elsevier, vol. 13(2), pages 185-201, June.
- 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.
- Magnus, J.R., 1978. "Maximum likelihood estimation of the GLS model with unknown parameters in the disturbance covariance matrix," Other publications TiSEM 388c2c25-0925-4b56-834a-7, Tilburg University, School of Economics and Management.
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"On the robustness of the F-test to autocorrelation among disturbances,"
Elsevier, vol. 30(1), pages 37-40.
- Krämer, Walter, 1986. "On the robustness of the F-test to autocorrelation among disturbances," Hannover Economic Papers (HEP) dp-097, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- 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 153-74, January.
- 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.
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