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Testing for Serial Correlation in the of Dynamic Heteroscedasticity

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Author Info
Silvapulle, P.
Evans, M.

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Abstract

The main objective of this study is to investigate the rebustness of the popular Durbin-Watson (DW), Langrage multiplier (LM), Box-Pierce (BP) and Ljung-Box (LB) tests and their corrected versions against autoregressive distrurbances in the presence of dynamic heteroscedastic disturbances with normal or non-normal distributions.

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Publisher Info
Paper provided by Monash University, Department of Econometrics and Business Statistics in its series Monash Econometrics and Business Statistics Working Papers with number 7/96.

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Length: 35 pages
Date of creation: 1996
Date of revision:
Handle: RePEc:msh:ebswps:1996-7

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Related research
Keywords: ECONOMIC MODELS; ECONOMETRICS; CORRELATION TESTS;

Find related papers by JEL classification:
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods
C81 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Microeconomic Data

Statistics
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This page was last updated on 2009-11-25.

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