Power Comparison of Autocorrelation Tests in Dynamic Models
The four most readily available tests of autocorrelation in dynamic models namely Durbin’s M test, Durbin’s H test, Breusch-Godfrey (BGF) test and Ljung and Box (Q) test are compared in terms of their power for varying sample sizes, levels of autocorrelation and significance using Monte Carlo sim...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Econometric Research Association
2019-09-01
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| Series: | International Econometric Review |
| Subjects: | |
| Online Access: | http://www.era.org.tr/makaleler/447133.pdf |