ORTHOGONALITY TESTS WITH DE-TRENDED DATA - INTERPRETING MONTE-CARLO RESULTS USING NAGAR EXPANSIONS

被引：3

作者：

BANERJEE, A

DOLADO, J

GALBRAITH, JW

机构：

[1] BANK SPAIN,RES DEPT,E-28014 MADRID,SPAIN

[2] MCGILL UNIV,MONTREAL H3A 2T7,QUEBEC,CANADA

来源：

ECONOMICS LETTERS | 1990年 / 32卷 / 01期

关键词：

D O I：

10.1016/0165-1765(90)90044-2

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We extend previous results concerning the behaviour of a finite-sample approximation to the distribution of the t-statistic used in testing orthogonality of a variable to a given information set. In particular, we look at the case in which the data are de-trended, innovations in the explanatory variable are correlated with the regressand, and the explanatory variable is substantially autocorrelated. © 1990.

引用

页码：19 / 24

页数：6

共 10 条

[1]

BANERJEE A, 1987, ECON LETT, V24, P27, DOI 10.1016/0165-1765(87)90176-5

[2] TESTS OF THE LIFE CYCLE-PERMANENT INCOME HYPOTHESIS IN THE PRESENCE OF RANDOM-WALKS - ASYMPTOTIC THEORY AND SMALL-SAMPLE INTERPRETATIONS [J].