Wild-Bootstrapped Variance Ratio Test for Autocorrelation in the Presence of Heteroskedasticity

Jinook Jeong and Byunguk Kang

MPRA Paper from University Library of Munich, Germany

Abstract: The Breusch-Godfrey’s 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 regression model. Some remedies recently have been proposed by Godfrey and Tremayne (2005) and Shim et al. (2006). This paper suggests wild-bootstrapped variance ratio test for autocorrelation in the presence of heteroskedasticity. We show through a Monte Carlo simulation that our wild-bootstrapped VR test has better small sample properties and is robust to the structure of heteroskedasticity.

Keywords: variance-ratio test; Breusch-Godfrey’s LM test; autocorrelation; heteroskedasticity; wild bootstrap (search for similar items in EconPapers)
JEL-codes: C12 C15 (search for similar items in EconPapers)
Date: 2006-12, Revised 2008-05
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:9791

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