Testing for Serial Correlation in the of Dynamic Heteroscedasticity.

The main objective of this study is to investigate the rebustness of the popular Durbin-Watson (DW), Langrage multiplier (LM), Box-Pierce (BP) and Ljung-Box (LB) tests and their corrected versions against autoregressive distrurbances in the presence of dynamic heteroscedastic disturbances with normal or non-normal distributions.

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Year of publication:	1996
Authors:	Silvapulle, P. ; Evans, M.
Institutions:	Department of Econometrics and Business Statistics, Monash Business School
Subject:	ECONOMIC MODELS \| ECONOMETRICS \| CORRELATION TESTS

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Series:	Monash Econometrics and Business Statistics Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 7/96 35 pages
Classification:	C13 - Estimation ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C81 - Methodology for Collecting, Estimating, and Organizing Microeconomic Data
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005581120