A robust test for autocorrelation in the presence of a structural break in variance

DOI10.1080/00949655.2012.754027zbMath1453.62641OpenAlexW2095323871MaRDI QIDQ5220009

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

zbMATH Keywords

LM testGLS regressionvariance-ratio testvariance break

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• The wild bootstrap and heteroskedasticity-robust tests for serial correlation in dynamic regression models
• A procedure for the modeling of non-stationary time series
• Unit root tests with a break in innovation variance.
• On the application of robust, regression-based diagnostics to models of conditional means and conditional variances
• A TEST OF AUTOCORRELATION IN THE PRESENCE OF HETEROSKEDASTICITY OF UNKNOWN FORM
• STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS
• On the Rigour of Some Misspecification Tests for Modelling Dynamic Relationships
• Testing For and Dating Common Breaks in Multivariate Time Series
• LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES

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