+46 (0)46 222 0326
Your most visited
Theses, dissertations and research publications (including journal articles, conference abstracts and books) from Lund University are collected in this database. Where possible, the option to download a full text document is available. It is also possible to search for Lund University student theses in the student theses database.
|Title||Bootstrap methods for autocorrelation test with uncorrelated but not independent errors|
|Author/s||Panagiotis Mantalos, Ghazi Shukur|
Department of Statistics
|Full-text||Full text is not available in this archive|
|Alternative location (URL)||http://dx.doi.org/10.1016/j.ec... Restricted Access (Alternative Location)|
|Pages||1040 - 1050|
|Document type||Journal article|
|Publisher||ELSEVIER SCIENCE BV|
|Abstract English||By using bootstrap technique we investigate the properties of the Breusch [Breusch, T.S., 1978. Testing for autocorrelation in dynamic linear models. Australian Economic Papers 17, 334-355]-Godfrey [Godfrey, L.G., 1978. Testing for higher order serial correlation in regression equations when the regressors include lagged dependent variables. Econometrica 46, 1303-1310] autocorrelation tests in dynamic models with uncorrelated but not independent errors. In this paper we show that, under conditions when the errors are uncorrelated but not independent, even the best likelihood ratio test cannot achieve the asymptotic distribution under the null hypothesis of no autocorrelation. Standard bootstrap methods also flail to produce consistent results. To overcome this problem we applied several bootstrap testing methods for the same: purpose and found the stationary bootstrap and Wild bootstrap with static model to perform adequately among the other bootstrap methods. (C) 2008 Elsevier B.V. All rights reserved.|
|Keywords||autocorrelation, dynamic models, bootstrap, test tor autocorrelation|
+46 (0)46 222 0326
Lund University's "ReSearch for the Future" magazine (Pdf, 10 Mb) presents a range of research from across the University.