MODIFIED WALD TEST FOR REGRESSION DISTURBANCES

Authors
LASKAR MR KING ML
Citation
Mr. Laskar et Ml. King, MODIFIED WALD TEST FOR REGRESSION DISTURBANCES, Economics letters, 56(1), 1997, pp. 5-11
Citations number
14
Categorie Soggetti
Economics
Journal title
Economics letters → ACNP
ISSN journal
01651765
Volume
56
Issue
1
Year of publication
1997
Pages
5 - 11
Database
ISI
SICI code
0165-1765(1997)56:1<5:MWTFRD>2.0.ZU;2-Z
Abstract
This paper investigates a modified version of the Wald test of regress ion disturbances. The Monte Carlo results in the context of testing fo r MA(I) regression disturbances show that the modified Wald tests alwa ys have monotonic increasing power functions in contrast to the tradit ional Wald test. (C) 1997 Elsevier Science S.A.