We consider the finite sample power of various tests against serial correlation in the disturbances of a linear … regression when these disturbances follow a stationary long memory process. It emerges that the power depends on the form of the … the disturbances, the power can drop to zero for certain regressors. We also provide a means to detect this zero-power …

The presence of conditional heteroskedasticity invalidates standard autocorrelation tests such as the Durbin …-Watson statistic and its many variants, and reduces the power of standard unit root tests like the Dickey-Fuller test. This paper … new autocorrelation tests (called g- and gl- tests), and derives an asymptotic theory for the new statistics. The g test …

A new family of kernels is suggested for use in heteroskedasticity and autocorrelation consistent (HAC) and long run … and are intended to be used with no truncation (or bandwidth) parameter. As the power parameter (rho) increases, the … dominance of the Bartlett kernel over quadratic kernels in test power and yields new findings about the asymptotic properties of …

also extended allowing the possibility of residual autocorrelation corrections. The main conclusion that emerges from the … context of such (static) regression models, even when using some form of residual autocorrelation correction. A simple …