Wild-Bootstrapped Variance Ratio Test for Autocorrelation in the Presence of Heteroskedasticity
AbstractThe Breusch-Godfrey’s LM test is one of the most popular tests for autocorrelation. However, it has been shown that the LM test may be erroneous when there exist heteroskedastic errors in regression model. Some remedies recently have been proposed by Godfrey and Tremayne (2005) and Shim et al. (2006). This paper suggests wild-bootstrapped variance ratio test for autocorrelation in the presence of heteroskedasticity. We show through a Monte Carlo simulation that our wild-bootstrapped VR test has better small sample properties and is robust to the structure of heteroskedasticity.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 9791.
Date of creation: Dec 2006
Date of revision: May 2008
variance-ratio test; Breusch-Godfrey’s LM test; autocorrelation; heteroskedasticity; wild bootstrap;
Other versions of this item:
- Jinook Jeong & Byunguk Kang, 2012. "Wild-bootstrapped variance-ratio test for autocorrelation in the presence of heteroskedasticity," Journal of Applied Statistics, Taylor & Francis Journals, vol. 39(7), pages 1531-1542, January.
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-08-14 (All new papers)
- NEP-ECM-2008-08-14 (Econometrics)
- NEP-ETS-2008-08-14 (Econometric Time Series)
- NEP-ORE-2008-08-14 (Operations Research)
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