scientific article; zbMATH DE number 3856250

MaRDI QIDQ3324880zbMATH OpenFDO

Authors Balu L. Bumb, Harry H. Kelejian

Publication date 1983

zbMATH Keywords

autocorrelationCochrane-Orcutt methodDurbin-Watsonheteroskedasticityleast squares procedureTheil- Nagar tests

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Recommendations

• A New Test for Autocorrelation in the Disturbances of the Dynamic Linear Regression Model
• Finite sample power of linear regression autocorrelation tests
• A TEST OF AUTOCORRELATION IN THE PRESENCE OF HETEROSKEDASTICITY OF UNKNOWN FORM
• A joint test for serial correlation and heteroscedasticity
• Testing for serial correlation in multivariate regression models

Cited in

(1)

• Monte Carlo evaluation of asymptotic and bootstrap tests for residual autocorrelation

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