Bootstrap methods for autocorrelation test with uncorrelated but not independent errors
(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:
https://lup.lub.lu.se/record/1247837
- author
- Mantalos, Panagiotis LU and Shukur, Ghazi
- organization
- publishing date
- 2008
- 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
- 2016-04-01 12:36:27
- date last changed
- 2022-01-27 07:22:56
@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}},
keywords = {{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}},
doi = {{10.1016/j.econmod.2008.01.010}},
volume = {{25}},
year = {{2008}},
}