Testing for Serial Correlation in the of Dynamic Heteroscedasticity

Param Silvapulle (param.silvapulle@monash.edu.au) and M. Evans

No 7/96, Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: 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.

Keywords: ECONOMIC MODELS; ECONOMETRICS; CORRELATION TESTS (search for similar items in EconPapers)
JEL-codes: C13 C15 C81 (search for similar items in EconPapers)
Pages: 35 pages
Date: 1996
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Citations: View citations in EconPapers (1)

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