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Bootstrap tests for autocorrelation

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  • Jeong, Jinook
  • Chung, Seoung

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  • Jeong, Jinook & Chung, Seoung, 2001. "Bootstrap tests for autocorrelation," Computational Statistics & Data Analysis, Elsevier, vol. 38(1), pages 49-69, November.
    • Handle: RePEc:eee:csdana:v:38:y:2001:i:1:p:49-69
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    References listed on IDEAS

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    1. Ansley, Craig F. & Kohn, Robert & Shively, Thomas S., 1992. "Computing p-values for the generalized Durbin-Watson and other invariant test statistics," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 277-300.
    2. Russell Davidson & James G. MacKinnon, 1996. "The Size and Power of Bootstrap Tests," Working Papers 932, Queen's University, Department of Economics.
    3. Jeong, Jinook & Lee, Kyoungwoo, 1999. "Bootstrapped White's test for heteroskedasticity in regression models," Economics Letters, Elsevier, vol. 63(3), pages 261-267, June.
    4. Veall, Michael R., 1986. "Bootstrapping regression estimators under first-order serial correlation," Economics Letters, Elsevier, vol. 21(1), pages 41-44.
    5. Joel L. Horowitz, 1996. "Bootstrap Methods in Econometrics: Theory and Numerical Performance," Econometrics 9602009, EconWPA, revised 05 Mar 1996.
    6. Lahiri, Soumendra Nath, 1991. "Second order optimality of stationary bootstrap," Statistics & Probability Letters, Elsevier, vol. 11(4), pages 335-341, April.
    7. Rayner, Robert K, 1990. "Bootstrapping p Values and Power in the First-Order Autoregression: A Monte Carlo Investigation," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(2), pages 251-263, April.
    8. Theil, Henri & Shonkwiler, J. S., 1986. "Monte Carlo tests of autocorrelation," Economics Letters, Elsevier, vol. 20(2), pages 157-160.
    9. Durbin, J, 1970. "Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent Variables," Econometrica, Econometric Society, vol. 38(3), pages 410-421, May.
    10. Li, Hongyi & Maddala, G. S., 1997. "Bootstrapping cointegrating regressions," Journal of Econometrics, Elsevier, vol. 80(2), pages 297-318, October.
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    Cited by:

    1. Godfrey, L.G., 2007. "Alternative approaches to implementing Lagrange multiplier tests for serial correlation in dynamic regression models," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3282-3295, April.
    2. Kwan, Andy C.C. & Sim, Ah-Boon & Wu, Yangru, 2005. "A comparative study of the finite-sample performance of some portmanteau tests for randomness of a time series," Computational Statistics & Data Analysis, Elsevier, vol. 48(2), pages 391-413, February.
    3. Mantalos Panagiotis, 2003. "Bootstrapping the Breusch-Godfrey autocorrelation test for a single equation dynamic model: Bootstrapping the Restricted vs. Unrestricted model," Monte Carlo Methods and Applications, De Gruyter, vol. 9(3), pages 257-269, September.

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