TY - JOUR
T1 - Wild-bootstrapped variance-ratio test for autocorrelation in the presence of heteroskedasticity
AU - Jeong, Jinook
AU - Kang, Byunguk
N1 - Copyright:
Copyright 2012 Elsevier B.V., All rights reserved.
PY - 2012/7
Y1 - 2012/7
N2 - 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.
AB - 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.
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U2 - 10.1080/02664763.2012.658360
DO - 10.1080/02664763.2012.658360
M3 - Article
AN - SCOPUS:84861856975
VL - 39
SP - 1531
EP - 1542
JO - Journal of Applied Statistics
JF - Journal of Applied Statistics
SN - 0266-4763
IS - 7
ER -