Wild-bootstrapped variance-ratio test for autocorrelation in the presence of heteroskedasticity

DOI10.1080/02664763.2012.658360zbMath1474.62308OpenAlexW2160509047MaRDI QIDQ3168259

Byunguk Kang, Jinook Jeong

Publication date: 30 October 2012

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664763.2012.658360

zbMATH Keywords

autocorrelationwild bootstrapheteroskedasticityBreusch-Godfrey LM testvariance-ratio test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09)

Cites Work

• The wild bootstrap, tamed at last
• Bootstrapping heteroskedastic regression models: wild bootstrap vs. pairs bootstrap
• The wild bootstrap and heteroskedasticity-robust tests for serial correlation in dynamic regression models
• Bootstrap procedures under some non-i.i.d. models
• A simple multiple variance ratio test
• Jackknife, bootstrap and other resampling methods in regression analysis
• Wild bootstrapping variance ratio tests
• Bootstrap and wild bootstrap for high dimensional linear models
• Econometric Issues in the Analysis of Regressions with Generated Regressors
• Two Stage and Related Estimators and Their Applications
• Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables
• Testing For and Dating Common Breaks in Multivariate Time Series
• LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES

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