A robust test for autocorrelation in the presence of a structural break in variance
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Publication:5220009
DOI10.1080/00949655.2012.754027zbMATH Open1453.62641OpenAlexW2095323871MaRDI QIDQ5220009FDOQ5220009
Eun-Young Shim, Tae-Hwan Kim, Hyeong-Ho Mun
Publication date: 9 March 2020
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00949655.2012.754027
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Cites Work
- A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
- LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
- Testing For and Dating Common Breaks in Multivariate Time Series
- On the application of robust, regression-based diagnostics to models of conditional means and conditional variances
- Unit root tests with a break in innovation variance.
- STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS
- On the Rigour of Some Misspecification Tests for Modelling Dynamic Relationships
- A TEST OF AUTOCORRELATION IN THE PRESENCE OF HETEROSKEDASTICITY OF UNKNOWN FORM
- The wild bootstrap and heteroskedasticity-robust tests for serial correlation in dynamic regression models
- A procedure for the modeling of non-stationary time series
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