A POINT OPTIMAL TEST FOR MOVING AVERAGE REGRESSION DISTURBANCES

@inproceedings{King1985APO,
  title={A POINT OPTIMAL TEST FOR MOVING AVERAGE REGRESSION DISTURBANCES},
  author={Maxwell L. King},
  year={1985}
}
This paper reconsiders King's [12] locally optimal test procedure for first-order moving average disturbances in the linear regression model. It recommends two tests, one for problems involving positively correlated disturbances and one for negatively correlated disturbances. Both tests are most powerful invariant at a point in the alternative hypothesis parameter space that is determined by a function involving the sample size and the number of regressors. Selected bounds for the tests… CONTINUE READING

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