Testing for Serial Correlation in the of Dynamic Heteroscedasticity
AbstractThe 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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Bibliographic InfoPaper provided by Monash University, Department of Econometrics and Business Statistics in its series Monash Econometrics and Business Statistics Working Papers with number 7/96.
Length: 35 pages
Date of creation: 1996
Date of revision:
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Postal: PO Box 11E, Monash University, Victoria 3800, Australia
Web page: http://www.buseco.monash.edu.au/depts/ebs/
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