Wild-bootstrapped variance-ratio test for autocorrelation in the presence of heteroskedasticity

DOI10.1080/02664763.2012.658360MaRDI QIDQ3168259zbMATH OpenOpenAlexFDO

Authors Jinook Jeong, Byunguk Kang

Publication date 30 October 2012

Published in Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02664763.2012.658360

zbMATH Keywords

autocorrelationBreusch-Godfrey LM testheteroskedasticityvariance-ratio testwild bootstrap

Mathematics Subject Classification ID

Nonparametric statistical resampling methods (62G09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

• A simple multiple variance ratio test
• Bootstrap and wild bootstrap for high dimensional linear models
• Bootstrap procedures under some non-i.i.d. models
• Bootstrapping heteroskedastic regression models: wild bootstrap vs. pairs bootstrap
• Econometric Issues in the Analysis of Regressions with Generated Regressors
• Jackknife, bootstrap and other resampling methods in regression analysis
• LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
• Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables
• Testing For and Dating Common Breaks in Multivariate Time Series
• The wild bootstrap and heteroskedasticity-robust tests for serial correlation in dynamic regression models
• The wild bootstrap, tamed at last
• Two Stage and Related Estimators and Their Applications
• Wild bootstrapping variance ratio tests

Cited in

(6)

• Wild bootstrap tests for autocorrelation in vector autoregressive models
• Wild bootstrap Ljung-Box test for residuals of ARMA models robust to variance change
• scientific article; zbMATH DE number 5864669 (Why is no real title available?)
• Bootstrapping the Breusch-Godfrey autocorrelation test for a single equation dynamic model: Bootstrapping the Restricted vs. Unrestricted model
• A robust test for autocorrelation in the presence of a structural break in variance
• The wild bootstrap and heteroskedasticity-robust tests for serial correlation in dynamic regression models

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