Advanced

The effect of the GARCH(1,1) on autocorrelation tests in dynamic systems of equations

Mantalos, Panagiotis LU and Shukur, Ghazi (2005) In Applied Economics 37(16). p.1907-1913
Abstract
Using Monte Carlo methods, the properties of systemwise generalizations of the Breusch Godfrey test for autocorrelated errors are studied when there are some kinds of GARCH effects among the errors. The analysis, regarding the size of the test, reveals that the GARCH have considerable effects of the properties of the test regarding the size, especially in large systems of equations. The corrected LR tests, however, have been shown to perform satisfactorily in small systems when the errors are white noise or they have low GARCH effects, whilst the commonly used TR2 test behaves badly even in single equations. All tests perform badly, however, when the number of equations increases and the GARCH effect is strong. As regards the power of the... (More)
Using Monte Carlo methods, the properties of systemwise generalizations of the Breusch Godfrey test for autocorrelated errors are studied when there are some kinds of GARCH effects among the errors. The analysis, regarding the size of the test, reveals that the GARCH have considerable effects of the properties of the test regarding the size, especially in large systems of equations. The corrected LR tests, however, have been shown to perform satisfactorily in small systems when the errors are white noise or they have low GARCH effects, whilst the commonly used TR2 test behaves badly even in single equations. All tests perform badly, however, when the number of equations increases and the GARCH effect is strong. As regards the power of the test, the GARCH was not found to have any significant effects on the power properties of the test. (Less)
Please use this url to cite or link to this publication:
author
organization
publishing date
type
Contribution to journal
publication status
published
subject
in
Applied Economics
volume
37
issue
16
pages
1907 - 1913
publisher
Routledge
external identifiers
  • wos:000232597000010
  • scopus:26944485472
ISSN
1466-4283
DOI
10.1080/00036840500118804
language
English
LU publication?
yes
id
d2d8ad19-bf27-4edf-aa30-23a50e4129f8 (old id 898806)
date added to LUP
2008-01-16 14:29:29
date last changed
2017-01-01 04:39:57
@article{d2d8ad19-bf27-4edf-aa30-23a50e4129f8,
  abstract     = {Using Monte Carlo methods, the properties of systemwise generalizations of the Breusch Godfrey test for autocorrelated errors are studied when there are some kinds of GARCH effects among the errors. The analysis, regarding the size of the test, reveals that the GARCH have considerable effects of the properties of the test regarding the size, especially in large systems of equations. The corrected LR tests, however, have been shown to perform satisfactorily in small systems when the errors are white noise or they have low GARCH effects, whilst the commonly used TR2 test behaves badly even in single equations. All tests perform badly, however, when the number of equations increases and the GARCH effect is strong. As regards the power of the test, the GARCH was not found to have any significant effects on the power properties of the test.},
  author       = {Mantalos, Panagiotis and Shukur, Ghazi},
  issn         = {1466-4283},
  language     = {eng},
  number       = {16},
  pages        = {1907--1913},
  publisher    = {Routledge},
  series       = {Applied Economics},
  title        = {The effect of the GARCH(1,1) on autocorrelation tests in dynamic systems of equations},
  url          = {http://dx.doi.org/10.1080/00036840500118804},
  volume       = {37},
  year         = {2005},
}