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Modified Variance Ratio Test for Autocorrelation in the Presence of Heteroskedasticity

Author

Listed:
  • Sohail Chand

    (Associate Professor, College of Statistical and Actuarial Sciences, University of the Punjab, Pakistan.)

  • Nuzhat Aftab

    (PhD Scholar, College of Statistical and Actuarial Sciences, University of the Punjab, Pakistan.)

Abstract

No abstract is available for this item.

Suggested Citation

  • Sohail Chand & Nuzhat Aftab, 2018. "Modified Variance Ratio Test for Autocorrelation in the Presence of Heteroskedasticity," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 23(1), pages 1-19, Jan-June.
    • Handle: RePEc:lje:journl:v:23:y:2018:i:1:p:1-19
    as

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    File URL: http://lahoreschoolofeconomics.edu.pk/EconomicsJournal/Journals/Volume%2023/Issue%201/01%20Chand%20and%20Aftab.pdf
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    References listed on IDEAS

    as
    1. Jinook Jeong & Byunguk Kang, 2012. "Wild-bootstrapped variance-ratio test for autocorrelation in the presence of heteroskedasticity," Journal of Applied Statistics, Taylor & Francis Journals, vol. 39(7), pages 1531-1542, January.
    2. Andrew W. Lo, A. Craig MacKinlay, 1988. "Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test," The Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 41-66.
    3. Wooldridge, Jeffrey M., 1991. "On the application of robust, regression- based diagnostics to models of conditional means and conditional variances," Journal of Econometrics, Elsevier, vol. 47(1), pages 5-46, January.
    4. Breusch, T S, 1978. "Testing for Autocorrelation in Dynamic Linear Models," Australian Economic Papers, Wiley Blackwell, vol. 17(31), pages 334-355, December.
    5. Kim, Jae H., 2006. "Wild bootstrapping variance ratio tests," Economics Letters, Elsevier, vol. 92(1), pages 38-43, July.
    6. Joo-Yeon Hyun & Hyeong Ho Mun & Tae-Hwan Kim & Jinook Jeong, 2010. "The effect of a variance shift on the Breusch-Godfrey's LM test," Applied Economics Letters, Taylor & Francis Journals, vol. 17(4), pages 399-404.
    7. Bushra Yasmin, 2009. "Trade Liberalization and the Lead Role of Human Capital and Job Attributes in Wage Determination: The Case of Pakistan’s Labor Market," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 14(1), pages 1-37, Jan-Jun.
    8. Godfrey, Leslie G, 1978. "Testing against General Autoregressive and Moving Average Error Models When the Regressors Include Lagged Dependent Variables," Econometrica, Econometric Society, vol. 46(6), pages 1293-1301, November.
    9. Adrian Pagan, 1986. "Two Stage and Related Estimators and Their Applications," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 53(4), pages 517-538.
    10. Pagan, Adrian, 1984. "Econometric Issues in the Analysis of Regressions with Generated Regressors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(1), pages 221-247, February.
    11. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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    More about this item

    Keywords

    Regression; variance break; wild bootstrap;
    All these keywords.

    JEL classification:

    • C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General

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