The robustness of the systemwise breusch-godfrey autocorrelation test for non-normal distributed error terms

DOI10.1080/03610910008813620zbMath0968.62540OpenAlexW2023997691MaRDI QIDQ4490167

Ghazi Shukur

Publication date: 10 July 2000

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610910008813620

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)

Cites Work

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• Testing autocorrelation in a system perspective testing autocorrelation
• Linear Statistical Inference and its Applications

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