On the Power of Invariant Tests for Hypotheses on a Covariance Matrix
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- 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.
References listed on IDEAS
- 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.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- David Preinerstorfer, 2018. "How to avoid the zero-power trap in testing for correlation," Papers 1812.10752, arXiv.org.
- Pötscher, Benedikt M. & Preinerstorfer, David, 2018.
"Controlling the size of autocorrelation robust tests,"
Journal of Econometrics,
Elsevier, vol. 207(2), pages 406-431.
- Pötscher, Benedikt M. & Preinerstorfer, David, 2016. "Controlling the Size of Autocorrelation Robust Tests," MPRA Paper 75657, University Library of Munich, Germany.
- Preinerstorfer, David, 2014. "Finite Sample Properties of Tests Based on Prewhitened Nonparametric Covariance Estimators," MPRA Paper 58333, University Library of Munich, Germany.
More about this item
Keywordspower function; invariant test; autocorrelation; spatial correlation; zero-power trap; indistinguishability; Durbin-Watson test; Cliff-Ord test;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
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