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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 ℋA : ρ = 0.8 in test(Q), for ℋA : η = 0.9 in test(S), and for ℋA : γ = 0.83 in test(V),at significance levels γ = 0.05 and α = 0.10 (we also carried out computations for JℋA : 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.

Keywords

Null Distribution Significance Point Selection Device Beta Approximation Mixed Test 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© H. E. Stenfert Kroese B.V. 1978

Authors and Affiliations

  • C. Dubbelman
    • 1
  1. 1.Econometric InstituteErasmus University RotterdamNetherlands

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