The Robustness of Some Standard Tests for Autocorrelation and Heteroskedasticity when Both Problems Are Present

DOI10.2307/1911687zbMATH Open0359.62083OpenAlexW2038097677MaRDI QIDQ4131493FDOQ4131493

Authors: T. W. Epps, Mary Lee Epps 

Publication date: 1977

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1911687

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Nonparametric robustness (62G35) Applications of statistics to economics (62P20)

Cited In (12)

• Testing for Heteroscedasticity and/or Correlation in Nonlinear Models with Correlated Errors
• Diagnostics for skew-normal nonlinear regression models with AR(1) errors
• Model specification tests. A simultaneous approach
• Estimation and testing in time-series regression models with heteroscedastic disturbances
• The exact powers of some autocorrelation tests when the disturbances are heteroscedastic
• Approximate power of score test for variance heterogeneity under local alternatives in nonlinear models
• Tests of heteroscedasticity and correlation in multivariate \(t\) regression models with AR and ARMA errors
• On the application of robust, regression-based diagnostics to models of conditional means and conditional variances
• Residuals in tests for adequacy of regression relationships
• Measuring the degree of severity of heteroskedasticity and the choice between the ols estimator and the 2sae
• Testing of Homogeneity for Correlation and Variance in Nonlinear Regression Models with DBL(p, 0, 1) Random Errors
• The power of the Durbin-Watson test when the errors are heteroscedastic

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