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 …

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 …

good size and power properties to distinguish between stationary long memory and ESTAR. Moreover, the second approach is … shown to have more power. …

good size and power properties to distinguish between stationary long memory and ESTAR. Moreover, the second approach is … shown to have more power. -- directed-Wald test ; ESTAR ; long memory …

tests have very respectable power in comparison to the optimal tests for Markov-switching parameters of Carrasco et al …

We propose extensions of the Box-Pierce (1970) portmanteau autocorrelation test to allow for two generalisations: (i …) time series that exhibit unconditional heteroskedasticity and (ii) to test for the presence of autocorrelation only after a … autocorrelation consistent (HAC)-type estimator. While we show this modified test is robust to unconditional heteroskedasticity, the …

tests have very respectable power in comparison to the optimal tests for Markov-switching parameters of Carrasco …