Advanced

Bootstrap methods for autocorrelation test with uncorrelated but not independent errors

Mantalos, Panagiotis LU and Shukur, Ghazi (2008) In Economic Modelling 25(5). p.1040-1050
Abstract
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... (More)
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. (Less)
Please use this url to cite or link to this publication:
author
organization
publishing date
type
Contribution to journal
publication status
published
subject
keywords
dynamic models, autocorrelation, bootstrap, test tor autocorrelation
in
Economic Modelling
volume
25
issue
5
pages
1040 - 1050
publisher
Elsevier
external identifiers
  • wos:000258805900019
  • scopus:47349100712
ISSN
0264-9993
DOI
10.1016/j.econmod.2008.01.010
language
English
LU publication?
yes
id
6c77d1c7-8b62-4f74-adde-cf764dba4b02 (old id 1247837)
date added to LUP
2008-11-10 11:38:54
date last changed
2017-01-01 05:17:39
@article{6c77d1c7-8b62-4f74-adde-cf764dba4b02,
  abstract     = {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.},
  author       = {Mantalos, Panagiotis and Shukur, Ghazi},
  issn         = {0264-9993},
  keyword      = {dynamic models,autocorrelation,bootstrap,test tor autocorrelation},
  language     = {eng},
  number       = {5},
  pages        = {1040--1050},
  publisher    = {Elsevier},
  series       = {Economic Modelling},
  title        = {Bootstrap methods for autocorrelation test with uncorrelated but not independent errors},
  url          = {http://dx.doi.org/10.1016/j.econmod.2008.01.010},
  volume       = {25},
  year         = {2008},
}