Rekkas, M.; Sun, Y.; Wong, A. - In: Journal of Time Series Analysis 29 (2008) 3, pp. 513-532
Testing for first-order autocorrelation in small samples using the standard asymptotic test can be seriously misleading. Recent methods in likelihood asymptotics are used to derive more accurate p-value approximations for testing the autocorrelation parameter in a regression model. The methods...