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Orthogonality tests with de-trended data: Interpreting Monte-Carlo results using Nagar expansions

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URI: https://hdl.handle.net/10016/3322
ISSN: 0165-1765
DOI: 10.1016/0165-1765(90)90044-2
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orthogonality_dolado_EL_1990_ps.pdf (395.93 KB)
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1990-01
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Elsevier
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Abstract
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.
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Estadística matemática, Método de Monte Carlo
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Economics Letters, 1990, 32, 1, p. 19-24
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