On typical characteristics of economic time series and the relative qualities of five autocorrelation tests |
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| Authors: | C. Dubbelman A.S. Louter A.P.J. Abrahamse |
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| Affiliation: | Erasmus University, Rotterdam, Netherlands;Graduate School of Management, Delft, Netherlands |
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| Abstract: | In an article by L'Esperance and Taylor (1975) some tests against autocorrelation in the linear model are compared by considering their powers in a number of cases. The conclusions are wrong because of two facts: the cases to which the tests were applied are irrelevant and some of the calculations are incorrect. In the present article the relevant field of application is analyzed and correct power calculations are carried out, leading to quite different conclusions. |
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