The wild bootstrap and heteroskedasticity-robust tests for serial correlation in dynamic regression models

Computational Statistics and Data Analysis

Volumn 49, Issue 2, 2005, Pages 377-395

  Godfrey, L G ^a   Tremayne, A R ^a,b  

^a UNIVERSITY OF YORK   (United Kingdom)

^b UNIVERSITY OF SYDNEY   (Australia)

Author keywords

Heteroskedasticity; Serial correlation; Wild bootstrap

Indexed keywords

ASYMPTOTIC STABILITY; COMPUTER SIMULATION; LAGRANGE MULTIPLIERS; MATHEMATICAL MODELS; MONTE CARLO METHODS; TIME SERIES ANALYSIS;

DYNAMIC REGRESSION MODELS; HETEROSKEDASTICITY; SERIAL CORRELATION; WILD BOOTSTRAPS;

REGRESSION ANALYSIS;

EID: 17644367160     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2004.05.020     Document Type: Article

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