Local power of consistent tests for serial correlation against the nearly integrated, nearly white noise process

We show that any consistent tests for serial correlation have unit local power against the nearly integrated, nearly white noise process. The expected higher power is confirmed in finite sample Monte Carlo simulations.

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Year of publication:	2010
Authors:	Deng, Ai
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 107.2010, 1, p. 22-25
Publisher:	Elsevier
Subject:	ARMA(1 \| 1) Local power Nearly integrated Nearly white noise process

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10008551335