Abstract
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 [9] and Shim et al. [21]. 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.
| Original language | English |
|---|---|
| Pages (from-to) | 1531-1542 |
| Number of pages | 12 |
| Journal | Journal of Applied Statistics |
| Volume | 39 |
| Issue number | 7 |
| DOIs | |
| Publication status | Published - 2012 Jul 1 |
All Science Journal Classification (ASJC) codes
- Statistics and Probability
- Statistics, Probability and Uncertainty