Small sample properties of the multiple rank F-test with lagged dependent variables

Small sample properties of the multiple rank F-test with lagged dependent variables

The parametric and multiple rank F-tests are compared using Monte Carlo methods in a leading linear lagged dependent variable model for different error distributions, sample sizes and strengths of relationship.

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Veröffentlicht in:Economics letters 1990, Vol.33 (1), p.55-61
Hauptverfasser: Holmes, James M., A. Hutton, Patricia
Format: Artikel
Sprache:eng
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Zusammenfassung:The parametric and multiple rank F-tests are compared using Monte Carlo methods in a leading linear lagged dependent variable model for different error distributions, sample sizes and strengths of relationship.
ISSN:0165-1765
1873-7374
DOI:10.1016/0165-1765(90)90200-K