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Robustness and Size of Tests of Autocorrelation and Heteroscedasticity to Non-Normality

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  • Evans, Merran

Abstract

A comprehensive empirical examination is made of the sensitivity of tests of disturbance covariance in the linear regression model to non-normal disturbance behaviour. Tests of autocorrelation appear to be quite robust, except for extreme non-normality, but tests for heteroscedasticity are highly susceptible to kurtosis.

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Handle: RePEc:ags:monebs:266978
DOI: 10.22004/ag.econ.266978
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