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

被引：0

作者：

Jeong, Jinook ^{[1
]}

Kang, Byunguk ^{[2
]}

机构：

[1] Yonsei Univ, Sch Econ, Seoul 120749, South Korea

[2] McGill Univ, Dept Econ, Montreal, PQ H3A 2T5, Canada

来源：

JOURNAL OF APPLIED STATISTICS | 2012年 / 39卷 / 07期

关键词：

variance-ratio test; Breusch-Godfrey LM test; autocorrelation; heteroskedasticity; wild bootstrap; MODELS;

D O I：

10.1080/02664763.2012.658360

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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.

引用

页码：1531 / 1542

页数：12

共 17 条

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