Abstract
We consider autocorrelation tests in the linear regression model which can be expressed as ratios of quadratic forms in the true disturbances. Given a particular such test (as e.g., the Durbin-Watson test and many others), we show that there exist design matrices such that the power of the test drops to zero as autocorrelation among the disturbances increases. We also show how to compute this limiting power for arbitrary design matrices.
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