Testing autocorrelation in a system perspective testing autocorrelation

DOI10.1080/07474939908800351zbMATH Open1072.62631OpenAlexW2074408154MaRDI QIDQ4935451FDOQ4935451

Authors: David L. Edgerton, Ghazi Shukur 

Publication date: 1999

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474939908800351

Mathematics Subject Classification ID

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

Cites Work

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• The small sample bias of Durbin's tests for serial correlation when one of the regressors is the lagged dependent variable and the null hypothesis is true
• On the Rigour of Some Misspecification Tests for Modelling Dynamic Relationships
• Testing for Higher Order Serial Correlation in Regression Equations when the Regressors Include Lagged Dependent Variables
• Exact distributions of Wilks's likelihood ratio criterion
• Should stochastic or non-stochastic exogenous variables be used in Monte Carlo experiments?

Cited In (9)

• Should stochastic or non-stochastic exogenous variables be used in Monte Carlo experiments?
• Residual autocorrelation testing for vector error correction models
• Testing for Panel Unit Roots under General Cross-sectional Dependence
• The robustness of the systemwise breusch-godfrey autocorrelation test for non-normal distributed error terms
• A cointegration analysis of crime, economic activity, and police performance in São Paulo city
• Wild bootstrap tests for autocorrelation in vector autoregressive models
• The effect of fat-tailed error terms on the properties of systemwise RESET test
• Rényi statistics for testing equality of autocorrelation coefficients
• Testing for multivariate heteroscedasticity

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