Wild-bootstrapped variance-ratio test for autocorrelation in the presence of heteroskedasticity
The Breusch--Godfrey 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 a regression model. Recently, remedies have been proposed by Godfrey and Tremayne  and Shim et al. . This paper suggests three wild-bootstrapped variance-ratio (WB-VR) tests for autocorrelation in the presence of heteroskedasticity. We show through a Monte Carlo simulation that our WB-VR tests have better small sample properties and are robust to the structure of heteroskedasticity.
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Volume (Year): 39 (2012)
Issue (Month): 7 (January)
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