Testing for Serial Correlation in the of Dynamic Heteroscedasticity
Param Silvapulle () and
No 7/96, Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics
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)
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