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Testing for no autocorrelation using a modified Lobato test

Author

Listed:
  • Jen-Je Su

    (Department of Applied and International Economics, Massey University (New Zealand))

Abstract

This paper suggests modifying the Lobato test for no autocorrelation by using the bandwidth parameter (M) of the covariance estimator as a fixed proportion of the sample size (T): M=bT, where b (0,1] is a constant. It is shown by means of simulations that the modified test has good control over size regardless the choice of b and a higher testing power can be achieved if a mall b is chosen.

Suggested Citation

  • Jen-Je Su, 2004. "Testing for no autocorrelation using a modified Lobato test," Economics Bulletin, AccessEcon, vol. 3(46), pages 1-9.
    • Handle: RePEc:ebl:ecbull:eb-04c20025
    as

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    References listed on IDEAS

    as
    1. Michael Jansson, 2004. "The Error in Rejection Probability of Simple Autocorrelation Robust Tests," Econometrica, Econometric Society, vol. 72(3), pages 937-946, May.
    2. Nicholas M. Kiefer & Timothy J. Vogelsang, 2002. "Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation," Econometrica, Econometric Society, vol. 70(5), pages 2093-2095, September.
    3. Lobato I. N., 2001. "Testing That a Dependent Process Is Uncorrelated," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 1066-1076, September.
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    JEL classification:

    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables

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