Year 2019, Volume 11 , Issue 2, Pages 58 - 69 2019-09-25

Power Comparison of Autocorrelation Tests in Dynamic Models

Tanweer ISLAM [1] , Erum TOOR [2]


The four most readily available tests of autocorrelation in dynamic models namely Durbin’s M test, Durbin’s H test, Breusch Godfrey test (BGF) and Ljung & Box (Q) test are compared in terms of their power for varying sample sizes, levels of autocorrelation and significance using Monte Carlo simulations in STATA. Power comparison reveals that the Durbin M test is the best option for testing the hypothesis of no autocorrelation in dynamic models for all sample sizes. Breusch Godfrey’s test has comparable and at times minutely better performance than Durbin’s M test however in small sample sizes, Durbin’s M test outperforms the Breusch Godfrey test in terms of power. The Durbin H and the Ljung & Box Q tests consistently occupy the second last and last positions respectively in terms of power performance with maximum power gap of 63 & 60% respectively from the best test (M test).

Durbin test, Breusch Godfrey test, Ljung & Box test
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Primary Language en
Journal Section Articles
Authors

Orcid: 0000-0001-7398-0757
Author: Tanweer ISLAM
Country: Pakistan


Author: Erum TOOR (Primary Author)
Country: Pakistan


Dates

Publication Date : September 25, 2019

Bibtex @research article { ier447133, journal = {International Econometric Review}, issn = {1308-8793}, eissn = {1308-8815}, address = {Şairler Sokak, No:32/C, Gaziosmanpaşa, Ankara}, publisher = {Econometric Research Association}, year = {2019}, volume = {11}, pages = {58 - 69}, doi = {10.33818/ier.447133}, title = {Power Comparison of Autocorrelation Tests in Dynamic Models}, key = {cite}, author = {ISLAM, Tanweer and TOOR, Erum} }
APA ISLAM, T , TOOR, E . (2019). Power Comparison of Autocorrelation Tests in Dynamic Models. International Econometric Review , 11 (2) , 58-69 . DOI: 10.33818/ier.447133
MLA ISLAM, T , TOOR, E . "Power Comparison of Autocorrelation Tests in Dynamic Models". International Econometric Review 11 (2019 ): 58-69 <https://dergipark.org.tr/en/pub/ier/issue/49294/447133>
Chicago ISLAM, T , TOOR, E . "Power Comparison of Autocorrelation Tests in Dynamic Models". International Econometric Review 11 (2019 ): 58-69
RIS TY - JOUR T1 - Power Comparison of Autocorrelation Tests in Dynamic Models AU - Tanweer ISLAM , Erum TOOR Y1 - 2019 PY - 2019 N1 - doi: 10.33818/ier.447133 DO - 10.33818/ier.447133 T2 - International Econometric Review JF - Journal JO - JOR SP - 58 EP - 69 VL - 11 IS - 2 SN - 1308-8793-1308-8815 M3 - doi: 10.33818/ier.447133 UR - https://doi.org/10.33818/ier.447133 Y2 - 2019 ER -
EndNote %0 International Econometric Review Power Comparison of Autocorrelation Tests in Dynamic Models %A Tanweer ISLAM , Erum TOOR %T Power Comparison of Autocorrelation Tests in Dynamic Models %D 2019 %J International Econometric Review %P 1308-8793-1308-8815 %V 11 %N 2 %R doi: 10.33818/ier.447133 %U 10.33818/ier.447133
ISNAD ISLAM, Tanweer , TOOR, Erum . "Power Comparison of Autocorrelation Tests in Dynamic Models". International Econometric Review 11 / 2 (September 2019): 58-69 . https://doi.org/10.33818/ier.447133
AMA ISLAM T , TOOR E . Power Comparison of Autocorrelation Tests in Dynamic Models. IER. 2019; 11(2): 58-69.
Vancouver ISLAM T , TOOR E . Power Comparison of Autocorrelation Tests in Dynamic Models. International Econometric Review. 2019; 11(2): 69-58.