Modified Variance Ratio Test for Autocorrelation in the Presence of Heteroskedasticity
Given that autocorrelation tests do not perform well in the presence of heteroskedasticity and in variance-break cases, we present three modified weighted variance ratio tests of autocorrelation. The numerical results show that the proposed tests perform better for small samples. They provide a bet...
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| Materialtyp: | Artigo |
| Språk: | Inglês |
| Utgiven: |
Lahore School of Economics
2024-06-01
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| Serie: | Lahore Journal of Economics |
| Ämnen: | |
| Länkar: | https://journals.lahoreschool.edu.pk/LJE/LJE/article/view/548 |
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