Rothenberg's (1984) Edgeworth size correction is applied to tests of linear hypotheses in the linear regression model with AR(1) errors. Previous simulation findings on the effect of autocorrelation in the regressors on over-rejection (e.g. Park and Mitchell (1980)) are supported when the correction is examined analytically in a special case. A simulation study shows that the correction adjusts the size in the right direction, but still leaves substantial over-rejection when the sample size is small and the original amount of over-rejection is large.
MLA
Magee, Lonnie. “An Edgeworth Test Size Correction for the Linear Model with AR(1) Errors.” Econometrica, vol. 57, .no 3, Econometric Society, 1989, pp. 661-674, https://www.jstor.org/stable/1911057
Chicago
Magee, Lonnie. “An Edgeworth Test Size Correction for the Linear Model with AR(1) Errors.” Econometrica, 57, .no 3, (Econometric Society: 1989), 661-674. https://www.jstor.org/stable/1911057
APA
Magee, L. (1989). An Edgeworth Test Size Correction for the Linear Model with AR(1) Errors. Econometrica, 57(3), 661-674. https://www.jstor.org/stable/1911057
We are deeply saddened by the passing of Kate Ho, the John L. Weinberg Professor of Economics and Business Policy at Princeton University and a Fellow of the Econometric Society. Kate was a brilliant IO economist and scholar whose impact on the profession will resonate for many years to come.
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