On the Power of Invariant Tests for Hypotheses on a Covariance Matrix

@inproceedings{Preinerstorfer2014OnTP,
  title={On the Power of Invariant Tests for Hypotheses on a Covariance Matrix},
  author={David Preinerstorfer and Benedikt M. Potscher},
  year={2014}
}
The behavior of the power function of autocorrelation tests such as the Durbin-Watson test in time series regressions or the Cliff-Ord test in spatial regression models has been intensively studied in the literature. When the correlation becomes strong, Kr\"amer (1985) (for the Durbin-Watson test) and Kr\"amer (2005) (for the Cliff-Ord test) have shown that the power can be very low, in fact can converge to zero, under certain circumstances. Motivated by these results, Martellosio (2010) set… CONTINUE READING
1
Twitter Mention

Similar Papers

Citations

Publications citing this paper.

References

Publications referenced by this paper.