The limiting power of point optimal autocorrelation tests |
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| Authors: | John P. Small |
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| Affiliation: | Department of Economics , University of Canterbury , Christchurch, 1, NEW ZEALANDPrivate Bag 4800 |
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| Abstract: | This paper considers the point optimal tests for AR(1) errors in the linear regression model. It is shown that these tests have the same limiting power characteristics as the Durbin-Watson test. . The limiting power is zero or one when the regression has no intercept, but lies strictly between these values when an intercept is included. |
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| Keywords: | autocorrelation tests limiting power linear regression |
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