AN EDGEWORTH TEST SIZE CORRECTION FOR THE LINEAR MODEL WITH AR(1) ERRORS
作者： Lonnie Magee
DOI: 10.2307/1911057
关键词: Test size 、 Statistical hypothesis testing 、 Sample size determination 、 Linear model 、 Autoregressive model 、 Autocorrelation 、 Mathematics 、 Linear regression 、 Statistics 、 Special case
摘要: Rothenberg's Edgeworth size correction is applied to tests of linear hypotheses in the regression model with AR(1) errors. Previous simulation findings on effect autocorrelation regressors over-rejection are supported when examined analytically a special case. A study shows that adjusts right direction, but still leaves substantial sample small and original amount large
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