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

DOI10.2307/1911687zbMath0359.62083MaRDI QIDQ4131493

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

62P20: Applications of statistics to economics

62G10: Nonparametric hypothesis testing

62G35: Nonparametric robustness

Related Items

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, Approximate power of score test for variance heterogeneity under local alternatives in nonlinear models, Model specification tests. A simultaneous approach, The exact powers of some autocorrelation tests when the disturbances are heteroscedastic, Estimation and testing in time-series regression models with heteroscedastic disturbances, On the application of robust, regression-based diagnostics to models of conditional means and conditional variances, Testing for Heteroscedasticity and/or Correlation in Nonlinear Models with Correlated Errors, Measuring the degree of severity of heteroskedasticity and the choice between the ols estimator and the 2sae, Residuals in tests for adequacy of regression relationships