The estimated power of several tests for autocorrelation with non-first-order alternatives

V. Kerry Smith

Research output: Contribution to journalArticle

12 Scopus citations

Abstract

This article presents estimates of the power of four tests for the independence of the disturbances from linear regression models with two sets of alternative hypotheses—second-order autoregressive processes and first-order moving average processes. The results indicate that for a number of specifications of the second-order autoregressive error structure the Durbin-Watson and Durbin alternative exact tests are more powerful than a test designed for this class of alternatives. With models including first-order moving average errors the Durbin-Watson and Durbin alternative exact test are consistently more powerful than the other tests studied for all model specifications and sample sizes.

Original languageEnglish (US)
Pages (from-to)879-883
Number of pages5
JournalJournal of the American Statistical Association
Volume71
Issue number356
DOIs
StatePublished - 1976
Externally publishedYes

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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