Robustness and Size of Tests of Autocorrelation and Heteroscedasticity to Non-Normality

Merran Evans

No 266978, Department of Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: A comprehensive empirical examination is made of the sensitivity of tests of disturbance covariance in the linear regression model to non-normal disturbance behaviour. Tests of autocorrelation appear to be quite robust, except for extreme non-normality, but tests for heteroscedasticity are highly susceptible to kurtosis.

Keywords: Research and Development/Tech Change/Emerging Technologies; Research Methods/Statistical Methods (search for similar items in EconPapers)
Pages: 29
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Persistent link: https://EconPapers.repec.org/RePEc:ags:monebs:266978

DOI: 10.22004/ag.econ.266978

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