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

  title={Wild-bootstrapped variance-ratio test for autocorrelation in the presence of heteroskedasticity},
  author={Jinook Jeong and Byunguk Kang},
  journal={Journal of Applied Statistics},
  pages={1531 - 1542}
  • Jinook Jeong, Byunguk Kang
  • Published 2006
  • Engineering, Mathematics
  • Journal of Applied Statistics
  • 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… CONTINUE READING
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