Email: A Note on Hypothesis Tests after Correction for Autocorrelation: Solace for the Cochrane-Orcutt Method?

Abstract

The behavior of the t test in small samples for coefficient significance in time-series regressions is examined after using the Prais-Winsten (PW) and Cochrane-Orcutt (CO) corrections for autocorrelation. Results are compared to ordinary least squares and generalized least squares.