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The Robustness of Some Standard Tests for Autocorrelation and Heteroskedasticity When Both Problems Are Present

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  • Epps, Thomas W
  • Epps, Mary Lee

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  • Epps, Thomas W & Epps, Mary Lee, 1977. "The Robustness of Some Standard Tests for Autocorrelation and Heteroskedasticity When Both Problems Are Present," Econometrica, Econometric Society, vol. 45(3), pages 745-753, April.
    • Handle: RePEc:ecm:emetrp:v:45:y:1977:i:3:p:745-53
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    Cited by:

    1. Musser, Wesley N., 1992. "A Historical Overview of Estimation of Historical Risk Coefficients," 1992 Quantifying Long Run Agricultural Risks and Evaluating Farmer Responses to Risk Meeting, March 22-25, 1992, Orlando, Florida 307862, Regional Research Projects > S-232: Quantifying Long Run Agricultural Risks and Evaluating Farmer Responses to Risk.
    2. Jin-Guan Lin & Li-Xing Zhu & Chun-Zheng Cao & Yong Li, 2011. "Tests of heteroscedasticity and correlation in multivariate t regression models with AR and ARMA errors," Journal of Applied Statistics, Taylor & Francis Journals, vol. 38(7), pages 1509-1531, August.
    3. Teodosio Perez Amaral, 1994. "Una aplicación de los contrastes M y de la matriz de información dinámica: el caso de la demanda de dinero norteamericana 1960-1984," Investigaciones Economicas, Fundación SEPI, vol. 18(1), pages 193-201, January.
    4. Xie, Feng-Chang & Lin, Jin-Guan & Wei, Bo-Cheng, 2009. "Diagnostics for skew-normal nonlinear regression models with AR(1) errors," Computational Statistics & Data Analysis, Elsevier, vol. 53(12), pages 4403-4416, October.
    5. Lin, Jin-Guan & Wei, Bo-cheng, 2006. "Approximate power of score test for variance heterogeneity under local alternatives in nonlinear models," Computational Statistics & Data Analysis, Elsevier, vol. 50(11), pages 3179-3198, July.
    6. Luc Anselin, 1988. "Model Validation in Spatial Econometrics: A Review and Evaluation of Alternative Approaches," International Regional Science Review, , vol. 11(3), pages 279-316, December.
    7. Wooldridge, Jeffrey M., 1991. "On the application of robust, regression- based diagnostics to models of conditional means and conditional variances," Journal of Econometrics, Elsevier, vol. 47(1), pages 5-46, January.

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