Distributions escaping to infinity and the limiting power of the Cliff-Ord test for autocorrelation
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.
|Date of creation:||01 Jan 2011|
|Date of revision:||18 Sep 2012|
|Publication status:||Published in ISRN Probability and Statistics Article ID 926164.2012(2012): pp. 1-39|
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- 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.
- 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.
- Martellosio, Federico, 2008. "Testing for spatial autocorrelation: the regressors that make the power disappear," MPRA Paper 10542, University Library of Munich, Germany.
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