Abstract

This paper analyses the effect of measurement errors in the linear regression model with auto-correlated errors using a Lagrange Multiplier (LM) test. The asymptotic distribution of test statistic is shown to be standard normal under the null hypothesis. Finite sample properties of the test are examined briefly by simulations. It is found that the power of the test depends on the variance of the measurement error as well as the autoregressive parameter of the model.

中文翻译：

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使用自回归创新测试回归中的测量误差

摘要

本文使用拉格朗日乘数 (LM) 检验分析了测量误差在具有自相关误差的线性回归模型中的影响。在零假设下，检验统计量的渐近分布显示为标准正态分布。通过模拟简要检查测试的有限样本属性。发现检验的功效取决于测量误差的方差以及模型的自回归参数。