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

DOI10.1080/03610910008813620zbMATH Open0968.62540OpenAlexW2023997691MaRDI QIDQ4490167FDOQ4490167

Authors: 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

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Mathematics Subject Classification ID

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

Cites Work

• Linear Statistical Inference and its Applications
• Title not available (Why is that?)
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• Testing autocorrelation in a system perspective testing autocorrelation

Cited In (2)

• Testing for autocorrelation in non-stationary dynamic systems of equations
• The effect of fat-tailed error terms on the properties of systemwise RESET test

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