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...
محفوظ في:
| المؤلفون الرئيسيون: | , |
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| التنسيق: | Artigo |
| اللغة: | Inglês |
| منشور في: |
Lahore School of Economics
2024-06-01
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| سلاسل: | Lahore Journal of Economics |
| الموضوعات: | |
| الوصول للمادة أونلاين: | https://journals.lahoreschool.edu.pk/LJE/LJE/article/view/548 |
| الوسوم: |
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