Professor Anurag Banerjee a.n.banerjee@durham.ac.uk
Professor
On the sensitivity of the usual t- and F-tests to covariance misspecification.
Banerjee, A.N.; Magnus, J.R.
Authors
J.R. Magnus
Abstract
We consider the standard linear regression model with all standard assumptions, except that the disturbances are not white noise, but distributed Full-size image (<1 K) where Full-size image (<1 K). Our interest lies in testing linear restrictions using the usual F-statistic based on OLS residuals. We are not interested in finding out whether θ=0 or not. Instead we want to find out what the effect is of possibly nonzero θ on the F-statistic itself. We propose a sensitivity statistic φ for this purpose, discuss its distribution, and obtain a practical and easy-to-use decision rule to decide whether the F-test is sensitive or not to covariance misspecification when θ is close to zero. Some finite and asymptotic properties of ϕ are studied, as well as its behaviour in the special case of an AR(1) process near the unit root.
Citation
Banerjee, A., & Magnus, J. (2000). On the sensitivity of the usual t- and F-tests to covariance misspecification. Journal of Econometrics, 95(1), 157-176. https://doi.org/10.1016/s0304-4076%2899%2900034-2
Journal Article Type | Article |
---|---|
Publication Date | 2000-03 |
Deposit Date | Nov 24, 2014 |
Journal | Journal of Econometrics |
Print ISSN | 0304-4076 |
Electronic ISSN | 1872-6895 |
Publisher | Elsevier |
Peer Reviewed | Peer Reviewed |
Volume | 95 |
Issue | 1 |
Pages | 157-176 |
DOI | https://doi.org/10.1016/s0304-4076%2899%2900034-2 |
Keywords | Linear regression, Least squares, t-test, F-test, Autocorrelation, Sensitivity, Robustness. |
Public URL | https://durham-repository.worktribe.com/output/1417221 |
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