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A Point Optimal Test for Moving Average Regression Disturbances

Published online by Cambridge University Press:  18 October 2010

Maxwell L. King
Maxwell L. King
Affiliation:
Monash University
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Abstract

This paper reconsiders King's [12] locally optimal test procedure for first-order moving average disturbances in the linear regression model. It recommends two tests, one for problems involving positively correlated disturbances and one for negatively correlated disturbances. Both tests are most powerful invariant at a point in the alternative hypothesis parameter space that is determined by a function involving the sample size and the number of regressors. Selected bounds for the tests' significance points are tabulated and an empirical comparison of powers demonstrates the overall superiority of the new test for positively correlated moving average disturbances.

Type
Articles
Information
Econometric Theory , Volume 1 , Issue 2 , August 1985 , pp. 211 - 222
Copyright
Copyright © Cambridge University Press 1985

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References

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