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

DOI10.1080/00949655.2012.754027MaRDI QIDQ5220009zbMATH OpenOpenAlexFDO

Authors Hyeong-Ho Mun, Eun-Young Shim, Tae-Hwan Kim

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

GLS regressionLM testvariance-ratio testvariance break

Mathematics Subject Classification ID

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

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Cites work

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

Cited in

(2)

• Wild-bootstrapped variance-ratio test for autocorrelation in the presence of heteroskedasticity
• The impact of serial correlation on testing for structural change in binary choice model: Monte Carlo evidence

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