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...
Shranjeno v:
| Principais autores: | , |
|---|---|
| Format: | Artigo |
| Jezik: | Inglês |
| Izdano: |
Lahore School of Economics
2024-06-01
|
| Serija: | Lahore Journal of Economics |
| Teme: | |
| Online dostop: | https://journals.lahoreschool.edu.pk/LJE/LJE/article/view/548 |
| Oznake: |
Brez oznak, prvi označite!
|