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

@article{Jeong2006WildbootstrappedVT, title={Wild-bootstrapped variance-ratio test for autocorrelation in the presence of heteroskedasticity}, author={Jinook Jeong and Byung-Keun Kang}, journal={Journal of Applied Statistics}, year={2006}, volume={39}, pages={1531 - 1542} }

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…

## 3 Citations

Modified Variance Ratio Test for Autocorrelation in the Presence of Heteroskedasticity

- MathematicsTHE LAHORE JOURNAL OF ECONOMICS
- 2018

Given that autocorrelation tests do not perform well in the presence of heteroskedasticity and in variance-break cases, we present three modified weighted variance ratio tests of autocorrelation. The…

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- Mathematics
- 2010

In this article, we study the impact of an abrupt change in variance on the Breusch–Godfrey's LM test for autocorrelation. It is demonstrated by Monte Carlo simulations that a break in variance can…

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- Education
- 2017

Spurious rejections of the standard Dickey–Fuller (DF) test caused by a single variance break have been reported and some solutions to correct the problem have been proposed in the literature. Kim et…

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