John P. Small

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All published works

Action	Title	Year	Authors
+	The Hodrick-Prescott Filter, a Generalization, and a New Procedure for Extracting an Empirical Cycle from a Series	2000	Jonathan J. Reeves Conrad Blyth Christopher M. Triggs John P. Small
+	The exact powers of some autocorrelation tests when relevant regressors are omitted	1994	John P. Small David E. A. Giles Kenneth J. White
+ PDF Chat	The exact powers of some autocorrelation tests when the disturbances are heteroscedastic	1994	John P. Small
+	Comparing Standard and Robust Serial Correlation Tests in the Presence of Garch Errors	1993	John P. Small
+ PDF Chat	The limiting power of point optimal autocorrelation tests	1993	John P. Small
+	Sampling properties of some econometric tests in the presense of model mis-specification	1993	John P. Small
+	Testing and Estimation with Seasonal Autoregressive Mis-Specification	1992	John P. Small
+ PDF Chat	The power of the Durbin-Watson test when the errors are heteroscedastic	1991	David E. A. Giles John P. Small

Common Coauthors

Coauthor	Papers Together
David E. A. Giles	2
Christopher M. Triggs	1
Kenneth J. White	1
Jonathan J. Reeves	1
Conrad Blyth	1

Commonly Cited References

Action	Title	Year	Authors	# of times referenced
+	Robustness of size of tests of autocorrelation and heteroscedasticity to nonnormality	1992	Merran Evans	3
+	CRITICAL VALUE APPROXIMATIONS FOR TESTS OF LINEAR REGRESSION DISTURBANCES	1985	Merran Evans Maxwell L. King	3
+	On the power of the durbin-watson test under high autocorrelation	1989	Helmut Zeisel	3
+	Algorithm AS 155: The Distribution of a Linear Combination of χ 2 Random Variables	1980	Robert B. Davies	3
+	The alternative Durbin-Watson test	1981	Maxwell L. King	2
+	Finite sample power of linear regression autocorrelation tests	1990	Walter Krämer Helmut Zeisel	2
+	Testing for autocorrelation in linear regression models: a survey	2018	Maxwell L. King	2
+	The power of the Durbin-Watson test for regressions without an intercept	1985	Walter Krämer	2
+	The Robustness of Some Standard Tests for Autocorrelation and Heteroskedasticity when Both Problems Are Present	1977	T. W. Epps Mary Lee Epps	1
+	Performance of the Durbin-Watson Test and WLS Estimation When the Disturbance Term Includes Serial Dependence in Addition to First-Order Autocorrelation	1982	Jean E. Weber David E. Monarchi	1
+	Conditional Heteroscedastic Time Series Models	1987	Ruey S. Tsay	1
+	A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity	1980	Halbert White	1
+	Autoregressive conditional heteroscedasticity: A comparison of ARCH and random coefficient models	1988	Christian C. P. Wolff	1
+	Statistics, Science and Public Policy	1992	Arnold Zellner	1
+	A Simplex Method for Function Minimization	1965	J. A. Nelder R. Mead	1
+	The Linear Regression Model Under Test	1986	Walter Krämer Harald Sonnberger	1
+	Autocorrelation with Heteroscedasticity: A Note on the Robustness of the Durbin-Watson, Geary and Henshaw Tests	1975	Michael Harrison Brendan McCabe	1
+	Testing for Serial Correlation in Least Squares Regression: I	1950	J. Durbin G. S. Watson	1
+ PDF Chat	Robust Tests for Spherical Symmetry and Their Application to Least Squares Regression	1980	Maxwell L. King	1
+ PDF Chat	The power of the Durbin-Watson test when the errors are heteroscedastic	1991	David E. A. Giles John P. Small	1
+	On the application of robust, regression- based diagnostics to models of conditional means and conditional variances	1991	Jeffrey M. Wooldridge	1
+ PDF Chat	Computing the distribution of quadratic forms in normal variables	1961	J. P. Imhof	1
+	Maximum Likelihood Estimation of Misspecified Models	1983	Halbert White	1
+	The Power of the Durbin-Watson Test	1975	John A. Tillman	1
+ PDF Chat	The limiting power of point optimal autocorrelation tests	1993	John P. Small	1