Testing for serial correlation in the presence of dynamic heteroscedasticity |
| |
Authors: | Paramsothy Silvapulle Merran Evans |
| |
Affiliation: | a School of Business, La Trobe University, Bundoora, Australiab Department of Econometrics and Business Statistics, Monash University, Clayton, Australia |
| |
Abstract: | Standard serial correlation tests are derived assuming that the disturbances are homoscedastic, but this study shows that asympotic critical values are not accurate when this assumption is violated. Asymptotic critical values for the ARCH(2)-corrected LM, BP and BL tests are valid only when the underlying ARCH process is strictly stationary, whereas Wooldridge's robust LM test has good properties overall. These tests exhibit similar bahaviour even when the underlying process is GARCH (1,1). When the regressors include lagged dependent variables, the rejection frequencies under both the null and alternative hypotheses depend on the coefficientsof the lagged dependent variables and the other model parameters. They appear to be robust across various disturbance distributions under the null hypothesis. |
| |
Keywords: | serial correlations tests ARCH-correlated tests ARMA-ARCH models |
本文献已被 InformaWorld 等数据库收录! |
|