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Monte Carlo Methodology for LM and LR Autocorrelation Tests in Multivariate Regression

Philippe J. Deschamps
Annales d'Économie et de Statistique
No. 43 (Jul. - Sep., 1996), pp. 149-169
Published by: GENES on behalf of ADRES
DOI: 10.2307/20076030
Stable URL: http://www.jstor.org/stable/20076030
Page Count: 21
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Monte Carlo Methodology for LM and LR Autocorrelation Tests in Multivariate Regression
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Abstract

The small sample critical values of three test statistics for vector autocorrelated errors are investigated in the context of several specific empirical models. Under the null hypothesis, two of the proposed statistics do not depend on nuisance parameters when the regressors are strongly exogenous, and their distributions are easy to estimate. We also propose a simple and accurate size correction for the Chi-square likelihood ratio test. /// Les valeurs critiques de trois statistiques de test d'autocorrélation multivariée sont étudiées, en petit échantillon, dans le contexte de plusieurs modèles empiriques spécifiques. Sous l'hypothèse nulle, deux des statistiques proposées ne dépendent pas de paramètres inconnus lorsque les régresseurs sont fortement exogènes, et leurs distributions sont faciles à estimer. Nous proposons également une correction simple et précise de la taille du test Chi-carré du rapport des vraisemblances.

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