Serial Correlation Robust LM

DOI10.1108/S0731-9053(2012)0000030009zbMath1452.62325OpenAlexW2493211014MaRDI QIDQ5133602

Jingjing Yang, Timothy J. Vogelsang

Publication date: 10 November 2020

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

Full work available at URL: https://doi.org/10.1108/s0731-9053(2012)0000030009

zbMATH Keywords

kernelstructural changefixed-\(b\) asymptoticsnonmonotonic powerlong run varianceLagrange multiplier (LM) testrobust bandwidth

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric robustness (62G35)

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