Evaluation of the tests

Abstract

In this chapter we compare powers of the tests against positive autocorrelation and against heterovariance, as described in Section 2.5, , in order to answer the question of which disturbance estimator should be applied to which test. The six disturbance estimators, identified by û, hyp, sel, mod. BLUS, BLUS,and z, are described below. The powers are calculated for ℋ_A : ρ = 0.8 in test(Q), for ℋ_A : η = 0.9 in test(S), and for ℋ_A : γ = 0.83 in test(V),at significance levels γ = 0.05 and α = 0.10 (we also carried out computations for Jℋ_A : ρ = 0.3, or η = 0.75, or γ = 0.5, and α = 0.025, the results of which are not present­ed in this study: we found the same relative performances of the disturbance estimators, so that the results of the power comparisons are not restricted to the rather arbitrary choice of ℋ _A and α). The X-matrices used in this chapter are also described below. The section is concluded by a comparison between the test statistics using mod. BLUS and those using BLUS.