Abstract
We demonstrate the extreme non-robustness of the F-test to autocorrelation among the disturbances in the linear regression model, and characterize design-matrices such that the true size equals unity.
Research presented at the Second International Conference on Econometric Decision Models and supported by the Deutsche Forschungsgemeinschaft (DFG). All computations were done with the IAS-SYSTEM econometric software package.
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© 1991 Springer-Verlag Berlin Heidelberg
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Krämer, W., Kiviet, J., Breitung, J. (1991). True VS. Nominal Size of the F-Test in the Linear Regression Model with Autocorrelated Disturbances. In: Gruber, J. (eds) Econometric Decision Models. Lecture Notes in Economics and Mathematical Systems, vol 366. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-51675-7_24
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DOI: https://doi.org/10.1007/978-3-642-51675-7_24
Publisher Name: Springer, Berlin, Heidelberg
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