EconPapers    
Economics at your fingertips  
 

LM TESTS IN THE PRESENCE OF NON-NORMAL ERROR DISTRIBUTIONS

Marilena Furno ()

Econometric Theory, 2000, vol. 16, issue 2, 249-261

Abstract: The paper considers different versions of the Lagrange multiplier (LM) tests for autocorrelation and/or for conditional heteroskedasticity. These versions differ in terms of the residuals, and of the functions of the residuals, used to build the tests. In particular, we compare ordinary least squares versus least absolute deviation (LAD) residuals, and we compare squared residuals versus their absolute value. We show that the LM tests based on LAD residuals are asymptotically distributed as a χ2 and that these tests are robust to nonnormality. The Monte Carlo study provides evidence in favor of the LAD residuals, and of the absolute value of the LAD residuals, to build the LM tests here discussed.

Date: 2000
References: Add references at CitEc
Citations: View citations in EconPapers (5) Track citations by RSS feed

Downloads: (external link)
https://www.cambridge.org/core/product/identifier/ ... type/journal_article link to article abstract page (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cup:etheor:v:16:y:2000:i:02:p:249-261_16

Access Statistics for this article

More articles in Econometric Theory from Cambridge University Press Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
Bibliographic data for series maintained by Keith Waters ().

 
Page updated 2022-05-30
Handle: RePEc:cup:etheor:v:16:y:2000:i:02:p:249-261_16