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

Jinook Jeong and Byunguk Kang

Journal of Applied Statistics, 2012, vol. 39, issue 7, 1531-1542

Abstract: 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.

Date: 2012
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Working Paper: Wild-Bootstrapped Variance Ratio Test for Autocorrelation in the Presence of Heteroskedasticity (2008)
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DOI: 10.1080/02664763.2012.658360

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