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The wild bootstrap and heteroskedasticity-robust tests for serial correlation in dynamic regression models

  • Godfrey, L.G.
  • Tremayne, A.R.

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File URL: http://www.sciencedirect.com/science/article/B6V8V-4CVWV38-4/2/260ab3ad3032405e47036d217898e69c
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Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

Volume (Year): 49 (2005)
Issue (Month): 2 (April)
Pages: 377-395

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Handle: RePEc:eee:csdana:v:49:y:2005:i:2:p:377-395
Contact details of provider: Web page: http://www.elsevier.com/locate/csda

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  1. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
  2. van Giersbergen, Noud P A & Kiviet, Jan F, 1996. "Bootstrapping a Stable AD Model: Weak vs Strong Exogeneity," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 58(4), pages 631-56, November.
  3. Emmanuel Flachaire, 2001. "The Wild Bootstrap, Tamed at Last," STICERD - Distributional Analysis Research Programme Papers 58, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  4. FLACHAIRE, Emmanuel, 1999. "A better way to bootstrap pairs," CORE Discussion Papers 1999024, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  5. David A. Belsley, 2000. "An Investigation Of An Unbiased Corection For Heteroskedasticity And The Effects Of Misspecifying The Skedastic Function," Computing in Economics and Finance 2000 154, Society for Computational Economics.
  6. Goncalves, Silvia & Kilian, Lutz, 2004. "Bootstrapping autoregressions with conditional heteroskedasticity of unknown form," Journal of Econometrics, Elsevier, vol. 123(1), pages 89-120, November.
  7. Burridge, Peter & Taylor, A. M. Robert, 2001. "On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity," Journal of Econometrics, Elsevier, vol. 104(1), pages 91-117, August.
  8. Kiviet, Jan F, 1986. "On the Rigour of Some Misspecification Tests for Modelling Dynamic Relationships," Review of Economic Studies, Wiley Blackwell, vol. 53(2), pages 241-61, April.
  9. Belsley, David A, 1997. "A Small-Sample Correction for Testing for gth-Order Serial Correlation with Artificial Regressions," Computational Economics, Society for Computational Economics, vol. 10(3), pages 197-229, August.
  10. James G. MacKinnon, 2002. "Bootstrap inference in econometrics," Canadian Journal of Economics, Canadian Economics Association, vol. 35(4), pages 615-645, November.
  11. Paramsothy Silvapulle & Merran Evans, 1998. "Testing for serial correlation in the presence of dynamic heteroscedasticity," Econometric Reviews, Taylor & Francis Journals, vol. 17(1), pages 31-55.
  12. Breusch, T S, 1978. "Testing for Autocorrelation in Dynamic Linear Models," Australian Economic Papers, Wiley Blackwell, vol. 17(31), pages 334-55, December.
  13. Godfrey, Leslie G, 1978. "Testing against General Autoregressive and Moving Average Error Models When the Regressors Include Lagged Dependent Variables," Econometrica, Econometric Society, vol. 46(6), pages 1293-1301, November.
  14. DAVIDSON, Russel & MACKINNON, James G., . "Heteroskedastcity-robust tests in regressions directions," CORE Discussion Papers RP 678, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  15. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May.
  16. Emmanuel Flachaire, 2005. "Bootstrapping heteroskedastic regression models: wild bootstrap vs. pairs bootstrap," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00175910, HAL.
  17. Bruce E. Hansen, 1999. "Discussion of 'Data mining reconsidered'," Econometrics Journal, Royal Economic Society, vol. 2(2), pages 192-201.
  18. Davidson, Russell & Godfrey, Leslie & MacKinnon, James G, 1985. "A Simplified Version of the Differencing Test," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 26(3), pages 639-47, October.
  19. Godfrey, L G, 1994. "Testing for Serial Correlation by Variable Addition in Dynamic Models Estimated by Instrumental Variables," The Review of Economics and Statistics, MIT Press, vol. 76(3), pages 550-59, August.
  20. David A. Belsley, 2000. "A Small-Sample Correction for Testing for Joint Serial Correlation with Artificial Regressions," Computational Economics, Society for Computational Economics, vol. 16(1/2), pages 5-45, October.
  21. Whang, Yoon-Jae, 1998. "A Test Of Autocorrelation In The Presence Of Heteroskedasticity Of Unknown Form," Econometric Theory, Cambridge University Press, vol. 14(01), pages 87-122, February.
  22. Holly, Alberto, 1982. "A Remark on Hausman's Specification Test," Econometrica, Econometric Society, vol. 50(3), pages 749-59, May.
  23. Leslie G. Godfrey & Chris D. Orme, 2000. "Controlling the significance levels of prediction error tests for linear regression models," Econometrics Journal, Royal Economic Society, vol. 3(1), pages 66-83.
  24. Dezhbakhsh, Hashem & Thursby, Jerry G., 1994. "Testing for autocorrelation in the presence of lagged dependent variables : A specification error approach," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 251-272.
  25. Dezhbakhsh, Hashem, 1990. "The Inappropriate Use of Serial Correlation Tests in Dynamic Linear Models," The Review of Economics and Statistics, MIT Press, vol. 72(1), pages 126-32, February.
  26. Robinson, P. M., 1991. "Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression," Journal of Econometrics, Elsevier, vol. 47(1), pages 67-84, January.
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