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Finite sample behaviour of GNR tests for serial correlation

Author

Listed:
  • Erkin Bairam

Abstract

The Gauss-Newton regression (GNR) tests for autoregressive (AR) processes are based on the asymptotic theory. Consequently, their finite sample properties are not known. The objective of this paper is to remedy this by undertaking a Monte Carlo study. It is hoped that the results reported will shed some light on the small sample properties of the type of GNR tests discussed here.

Suggested Citation

  • Erkin Bairam, 1996. "Finite sample behaviour of GNR tests for serial correlation," Applied Economics Letters, Taylor & Francis Journals, vol. 3(1), pages 55-57.
    • Handle: RePEc:taf:apeclt:v:3:y:1996:i:1:p:55-57
    DOI: 10.1080/758525518
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    References listed on IDEAS

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    1. Godfrey, Leslie G, 1978. "Testing for Higher Order Serial Correlation in Regression Equations When the Regressors Include Lagged Dependent Variables," Econometrica, Econometric Society, vol. 46(6), pages 1303-1310, November.
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