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Bootstrap methods for autocorrelation test with uncorrelated but not independent errors
Lund University.
Växjö University, Faculty of Humanities and Social Sciences, School of Management and Economics. Jönköping University. (EHV, Nationalekonomi och Statistik, CAFO)ORCID iD: 0000-0002-3416-5896
2008 (English)In: Economic Modelling, ISSN 0264-9993, E-ISSN 1873-6122, Vol. 25, no 5, p. 1040-1050Article in journal (Refereed) Published
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Abstract [en]

By using bootstrap technique we investigate the properties of the Breusch [Breusch, T.S., 1978. Testing for autocorrelation in dynamic linear models. Australian Economic Papers 17, 334–355]–Godfrey [Godfrey, L.G., 1978. Testing for higher order serial correlation in regression equations when the regressors include lagged dependent variables. Econometrica 46, 1303–1310] autocorrelation tests in dynamic models with uncorrelated but not independent errors. In this paper we show that, under conditions when the errors are uncorrelated but not independent, even the best likelihood ratio test cannot achieve the asymptotic distribution under the null hypothesis of no autocorrelation. Standard bootstrap methods also fail to produce consistent results. To overcome this problem we applied several bootstrap testing methods for the same purpose and found the stationary bootstrap and Wild bootstrap with static model to perform adequately among the other bootstrap methods.

Place, publisher, year, edition, pages
Elsevier, 2008. Vol. 25, no 5, p. 1040-1050
Keywords [en]
Autocorrelation, Bootstrap, Dynamic models, Test for autocorrelation
National Category
Economics
Research subject
Economy, Economics
Identifiers
URN: urn:nbn:se:lnu:diva-50578DOI: 10.1016/j.econmod.2008.01.010OAI: oai:DiVA.org:lnu-50578DiVA, id: diva2:911077
Available from: 2008-12-28 Created: 2016-03-11 Last updated: 2020-01-24Bibliographically approved

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Mantalos, PanagiotisShukur, Ghazi

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CiteExportLink to record
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Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
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  • de-DE
  • en-GB
  • en-US
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  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
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