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

Jeong, Jinook and Kang, Byunguk (2006): Wild-Bootstrapped Variance Ratio Test for Autocorrelation in the Presence of Heteroskedasticity.

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: variance-ratio test, Breusch-Godfrey’s LM test, autocorrelation, heteroskedasticity, wild bootstrap
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C12 - Hypothesis Testing: General; C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C15 - Statistical Simulation Methods: General

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