Alternative size corrections for some GLS test statistics: The case of the AR(1) model (Journal article)

Symeonides, S./ Magdalinos, A.

Alternative size corrections are developed for the t and F tests in the AR(l) normal linear model. Edgeworth corrected critical values are obtained from normal, Student-t, chi-square, and F distributions. Alternatively, we may use Cornish-Fisher corrected test statistics to avoid the problem of negative tail " probabilities" of an Edgeworth " distribution" . The use of the exact distributions (Student-t, F) results in approximations that are locally exact, i.e., they reduce to the exact formulae for a sufficient simplification of the model. Monte Carlo findings support the theoretical considerations in favour of the locally exact Cornish-Fisher corrections.
Institution and School/Department of submitter: Πανεπιστήμιο Ιωαννίνων. Σχολή Οικονομικών και Κοινωνικών Επιστημών. Τμήμα Οικονομικών Επιστημών
Keywords: Errors, Cornish-Fisher corrections, Edgeworth approximations, Linear regression, Monte Carlo
Publisher: Elsevier
Appears in Collections:Άρθρα σε επιστημονικά περιοδικά ( Ανοικτά)

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