The robustness of the systemwise Breusch-Godfrey autocorrelation test for non-normal distributed error terms

Communications in Statistics - Theory and Methods

Volumn 29, Issue 2, 1999, Pages 419-448

  Shukur, Ghazi ^a  

^a UNIVERSITY OF GOTHENBURG   (Sweden)

Author keywords

AR(1) and MA(1) error terms; Monte Carlo methods; Systems of equations; Tests of autocorrelation

Indexed keywords

EID: 30444442147     PISSN: 03610926     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

References (6)

1. Anderson, T. W. (1984). An Introduction to Multivariate Statistical Analysis, Second Edition. New York, Wiley.
2. Davidson, R., and MacKinnon, J. G. (1993). Estimation and Inference in Econometrics, Oxford University Press, Oxford
3. Davidson, R., and MacKinnon, J. G. (1994). "Graphical Methods for Investigating the Size and Power of Hypothesis Tests," Discussion Paper #903, Institute for Economics Research, Queen's University, Ontario.
4. Edgerton, D. L. and Shukur, G. (1999). "Testing Autocorrelation in a System Perspective," Econometric Reviews, 18(4), 343-386.
5. Feller, W. (1966). "An Introduction to Probability Theory and Its Applications," John Wiley and Sons inc., New York.
6. Rao, C. R. (1973). Linear Statistical Inference and Its Applications, Second Edition. New York, Wiley.