Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression

DOI10.1016/0304-4076(91)90078-RzbMath0734.62070OpenAlexW1969604147MaRDI QIDQ811063

Publication date: 1991

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(91)90078-r

zbMATH Keywords

fast Fourier transform serial correlation weak dependence dependent alternatives dynamic conditional heteroskedasticity Limiting null distributions regression disturbances

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Parametric hypothesis testing (62F03) Diagnostics, and linear inference and regression (62J20)

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