Wild-bootstrapped variance-ratio test for autocorrelation in the presence of heteroskedasticity

Jinook Jeong, Byunguk Kang

Research output: Contribution to journalArticle

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 languageEnglish
Pages (from-to)1531-1542
Number of pages12
JournalJournal of Applied Statistics
Volume39
Issue number7
DOIs
Publication statusPublished - 2012 Jul 1

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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