Bootstrapping the Breusch-Godfrey autocorrelation test for a single equation dynamic model: Bootstrapping the Restricted vs. Unrestricted model

DOI10.1163/156939603322729012zbMath1052.62117OpenAlexW4250711646MaRDI QIDQ4462531

Panagiotis Mantalos

Publication date: 18 May 2004

Full work available at URL: https://doi.org/10.1163/156939603322729012

zbMATH Keywords

bootstrapautocorrelationBreusch-Godfrey test method

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bootstrap, jackknife and other resampling methods (62F40) Monte Carlo methods (65C05)

Related Items (1)

Alternative approaches to implementing Lagrange multiplier tests for serial correlation in dynamic regression models

Cites Work

• Testing for Higher Order Serial Correlation in Regression Equations when the Regressors Include Lagged Dependent Variables
• THE SIZE DISTORTION OF BOOTSTRAP TESTS
• Linear Statistical Inference and its Applications
• Bootstrap tests for autocorrelation.

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