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Distributions escaping to infinity and the limiting power of the Cliff-Ord test for autocorrelation

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  • Mynbaev, Kairat

Abstract

We consider a family of proper random variables which converges to an improper random variable. The limit in distribution is found and applied to obtain a closed-form expression for the limiting power of the Cliff-Ord test for autocorrelation. The applications include the theory of characteristic functions of proper random variables, the theory of almost periodic functions, and the test for spatial correlation in a linear regression model.

Suggested Citation

  • Mynbaev, Kairat, 2011. "Distributions escaping to infinity and the limiting power of the Cliff-Ord test for autocorrelation," MPRA Paper 44402, University Library of Munich, Germany, revised 18 Sep 2012.
  • Handle: RePEc:pra:mprapa:44402
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    File URL: https://mpra.ub.uni-muenchen.de/44402/1/MPRA_paper_44402.pdf
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    References listed on IDEAS

    as
    1. Martellosio, Federico, 2010. "Power Properties Of Invariant Tests For Spatial Autocorrelation In Linear Regression," Econometric Theory, Cambridge University Press, vol. 26(01), pages 152-186, February.
    2. Martellosio, Federico, 2008. "Testing for spatial autocorrelation: the regressors that make the power disappear," MPRA Paper 10542, University Library of Munich, Germany.
    3. Bert Van Es & Hae-Won Uh, 2005. "Asymptotic Normality of Kernel-Type Deconvolution Estimators," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 32(3), pages 467-483.
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    Cited by:

    1. Preinerstorfer, David & Pötscher, Benedikt M., 2017. "On The Power Of Invariant Tests For Hypotheses On A Covariance Matrix," Econometric Theory, Cambridge University Press, vol. 33(01), pages 1-68, February.
    2. Mynbaev, Kairat & Martins-Filho, Carlos, 2015. "Consistency and asymptotic normality for a nonparametric prediction under measurement errors," Journal of Multivariate Analysis, Elsevier, vol. 139(C), pages 166-188.

    More about this item

    Keywords

    improper random variable; Cliff-Ord test; autocorrelation; spatial correlation; characteristic function; almost periodic functions;

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models

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