The effect of the GARCH(1, 1) on autocorrelation tests in dynamic systems of equations

Applied Economics

Volumn 37, Issue 16, 2005, Pages 1907-1913

  Mantalos, Panagiotis ^a   Shukur, Ghazi ^b  

^a LUND UNIVERSITY   (Sweden)

^b JÖNKÖPING UNIVERSITY   (Sweden)

Author keywords

[No Author keywords available]

Indexed keywords

AUTOCORRELATION; METHODOLOGY; TESTING METHOD;

EID: 26944485472     PISSN: 00036846     EISSN: None     Source Type: Journal    
DOI: 10.1080/00036840500118804     Document Type: Article

References (11)

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3. Breusch, T. S. (1978) Testing for autocorrelation in dynamic linear models, Australian Economic Papers, 17, 334-55.
4. Breusch, T. S. and Pagan, A. R. (1979) A simple test for heteroscedasticity and random coefficient variation, Econometrica, 47, 1287-94.
5. Davies, N. and Newbold, P. (1979) Some power studies of a portmanteau test of time series model specification, Biometrica, 66, 153-5.
6. Edgerton, D. L. and Shukur, G. (1999) Testing autocorrelation in a system perspective, Econometric Reviews, 18, 343-86.
7. Godfrey, L. G. (1978) Testing for higher order serial correlation in regression equations when the regressors include lagged dependent variables, Econometrica, 46, 1303-10.
8. Godfrey, L. G. (1988) Misspecification Tests in Econometrics, Cambridge University Press, Cambridge.
9. Ljung, G. and Box, G. (1979) On a measure of lack of fit in time series models, Biometrika, 66, 265-70.
10. Maddala, G. (1995) Introduction to Econometrics, Macmillan, New York.
11. Rao, C. R. (1973) Linear Statistical Inference and Its Applications, 2nd edn, Wiley, New York.