The null distribution of the F-test in the linear regression model with autocorrelated disturbances

Walter Krämer; Jan Kiviet; Jörg Breitung

doi:10.6092/issn.1973-2201/848

The null distribution of the F-test in the linear regression model with autocorrelated disturbances

Authors

Walter Krämer Universität Dortmund
Department of Statistics
Jan Kiviet University of Amsterdam
Department of Actuarial Science and Economics
Jörg Breitung University of Hannover
Department of Economics

DOI:

https://doi.org/10.6092/issn.1973-2201/848

Abstract

We investigate the robustness to error-autocorrelation of significance tests in the linear regression model, and derive the limiting significance levels as autocorrelation increases. The main result is that the degree of nonrobustness of the tests depends crucially on the regressors of the model.

How to Cite

Krämer, W., Kiviet, J., & Breitung, J. (1990). The null distribution of the F-test in the linear regression model with autocorrelated disturbances. Statistica, 50(4), 503–509. https://doi.org/10.6092/issn.1973-2201/848