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The wild bootstrap and heteroskedasticity-robust tests for serial correlation in dynamic regression models

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  • Godfrey, L.G.
  • Tremayne, A.R.

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Bibliographic Info

Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

Volume (Year): 49 (2005)
Issue (Month): 2 (April)
Pages: 377-395

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Handle: RePEc:eee:csdana:v:49:y:2005:i:2:p:377-395

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References

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  1. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, Elsevier, vol. 31(3), pages 307-327, April.
  2. David A. Belsley, . "A Small-Sample Correction for Testing for gth-Order Serial Correlation with Artificial Regressions," Computing in Economics and Finance 1996 _008, Society for Computational Economics.
  3. Davidson, Russell & Godfrey, Leslie & MacKinnon, James G, 1985. "A Simplified Version of the Differencing Test," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 26(3), pages 639-47, October.
  4. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, Econometric Society, vol. 48(4), pages 817-38, May.
  5. Breusch, T S, 1978. "Testing for Autocorrelation in Dynamic Linear Models," Australian Economic Papers, Wiley Blackwell, vol. 17(31), pages 334-55, December.
  6. Emmanuel Flachaire, 2005. "Bootstrapping heteroskedastic regression models: wild bootstrap vs. pairs bootstrap," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00175910, HAL.
  7. Paramsothy Silvapulle & Merran Evans, 1998. "Testing for serial correlation in the presence of dynamic heteroscedasticity," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 17(1), pages 31-55.
  8. Godfrey, L G, 1994. "Testing for Serial Correlation by Variable Addition in Dynamic Models Estimated by Instrumental Variables," The Review of Economics and Statistics, MIT Press, vol. 76(3), pages 550-59, August.
  9. Burridge, P. & Taylor, A.M.R., 1999. "On Regression-Based Tests for Seasonal Unit Roots in the Presence of Periodic Heteroscedasticity," Discussion Papers, Department of Economics, University of Birmingham 99-10, Department of Economics, University of Birmingham.
  10. Davidson, R. & Flachaire, E., 1999. "The Wild Bootstrap, Tamed at Last," G.R.E.Q.A.M., Universite Aix-Marseille III 99a32, Universite Aix-Marseille III.
  11. Bruce E. Hansen, 1999. "Discussion of 'Data mining reconsidered'," Econometrics Journal, Royal Economic Society, vol. 2(2), pages 192-201.
  12. Russell Davidson & James G. MacKinnon, 1985. "Heteroskedasticity-Robust Tests in Regression Directions," Working Papers, Queen's University, Department of Economics 616, Queen's University, Department of Economics.
  13. David A. Belsley, 2000. "A Small-Sample Correction for Testing for Joint Serial Correlation with Artificial Regressions," Computational Economics, Society for Computational Economics, vol. 16(1/2), pages 5-45, October.
  14. James G. MacKinnon, 2002. "Bootstrap inference in econometrics," Canadian Journal of Economics, Canadian Economics Association, vol. 35(4), pages 615-645, November.
  15. Kilian, Lutz & Gonçalves, Sílvia, 2002. "Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form," Discussion Paper Series 1: Economic Studies 2002,26, Deutsche Bundesbank, Research Centre.
  16. Godfrey, Leslie G, 1978. "Testing against General Autoregressive and Moving Average Error Models When the Regressors Include Lagged Dependent Variables," Econometrica, Econometric Society, Econometric Society, vol. 46(6), pages 1293-1301, November.
  17. Whang, Yoon-Jae, 1998. "A Test Of Autocorrelation In The Presence Of Heteroskedasticity Of Unknown Form," Econometric Theory, Cambridge University Press, vol. 14(01), pages 87-122, February.
  18. FLACHAIRE, Emmanuel, 1999. "A better way to bootstrap pairs," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 1999024, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  19. Kiviet, Jan F, 1986. "On the Rigour of Some Misspecification Tests for Modelling Dynamic Relationships," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 53(2), pages 241-61, April.
  20. David A. Belsley, 2000. "An Investigation Of An Unbiased Corection For Heteroskedasticity And The Effects Of Misspecifying The Skedastic Function," Computing in Economics and Finance 2000 154, Society for Computational Economics.
  21. Dezhbakhsh, Hashem, 1990. "The Inappropriate Use of Serial Correlation Tests in Dynamic Linear Models," The Review of Economics and Statistics, MIT Press, vol. 72(1), pages 126-32, February.
  22. Leslie G. Godfrey & Chris D. Orme, 2000. "Controlling the significance levels of prediction error tests for linear regression models," Econometrics Journal, Royal Economic Society, vol. 3(1), pages 66-83.
  23. repec:fth:louvco:9924 is not listed on IDEAS
  24. Holly, Alberto, 1982. "A Remark on Hausman's Specification Test," Econometrica, Econometric Society, Econometric Society, vol. 50(3), pages 749-59, May.
  25. Robinson, P. M., 1991. "Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression," Journal of Econometrics, Elsevier, Elsevier, vol. 47(1), pages 67-84, January.
  26. van Giersbergen, Noud P A & Kiviet, Jan F, 1996. "Bootstrapping a Stable AD Model: Weak vs Strong Exogeneity," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 58(4), pages 631-56, November.
  27. Dezhbakhsh, Hashem & Thursby, Jerry G., 1994. "Testing for autocorrelation in the presence of lagged dependent variables : A specification error approach," Journal of Econometrics, Elsevier, Elsevier, vol. 60(1-2), pages 251-272.
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Citations

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Cited by:
  1. Andreea Halunga & Chris D. Orme & Takashi Yamagata, 2011. "A Heteroskedasticity Robust Breusch-Pagan Test for Contemporaneous Correlation in Dynamic Panel Data Models," The School of Economics Discussion Paper Series, Economics, The University of Manchester 1118, Economics, The University of Manchester.
  2. Erdenebat Bataa & Dong H. Kim & Denise R. Osborn, 2007. "Expectations Hypothesis Tests in the Presence of Model Uncertainty," Discussion Paper Series 0703, Institute of Economic Research, Korea University.
  3. Schleer, Frauke & Semmler, Willi, 2013. "Financial sector-output dynamics in the euro area: Non-linearities reconsidered," ZEW Discussion Papers 13-068, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  4. Asai, Manabu & Brugal, Ivan, 2013. "Forecasting volatility via stock return, range, trading volume and spillover effects: The case of Brazil," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 202-213.
  5. H. Peter Boswijk & Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, . "Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions," Tinbergen Institute Discussion Papers 13-187/III, Tinbergen Institute.
  6. Erdenebat Bataa & Denise R. Osborn & Marianne Sensier & Dick van Dijk, 2009. "Changes in International Business Cycle Affiliations," Centre for Growth and Business Cycle Research Discussion Paper Series 132, Economics, The Univeristy of Manchester.
  7. O'Reilly, Gerard & Whelan, Karl, 2005. "Testing Parameter Stability: A Wild Bootstrap Approach," Research Technical Papers 8/RT/05, Central Bank of Ireland.
  8. Erdenebat Bataa & Dong H. Kim & Denise R. Osborn, 2006. "A Further Examination of the Expectations Hypothesis for the Term Structure," The School of Economics Discussion Paper Series, Economics, The University of Manchester 0611, Economics, The University of Manchester.
  9. Godfrey, L.G., 2007. "Alternative approaches to implementing Lagrange multiplier tests for serial correlation in dynamic regression models," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 51(7), pages 3282-3295, April.

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