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Bootstrap methods f...
Bootstrap methods for autocorrelation test with uncorrelated but not independent errors
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- Mantalos, Panagiotis (författare)
- Lund University,Lunds universitet,Statistiska institutionen,Ekonomihögskolan,Department of Statistics,Lund University School of Economics and Management, LUSEM
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- Shukur, Ghazi (författare)
- Växjö universitet,Ekonomihögskolan, EHV,Jönköping University,EHV, Nationalekonomi och Statistik, CAFO,Department of Statistics, Lund University, Sweden; Center for labour market policy research (CAFO) Department of Economics and Statistics, Växjö University, Sweden
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(creator_code:org_t)
- Elsevier, 2008
- 2008
- Engelska.
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Ingår i: Economic Modelling. - : Elsevier. - 0264-9993 .- 1873-6122. ; 25:5, s. 1040-1050
- Relaterad länk:
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Abstract
Ämnesord
Stäng
- 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.
Ämnesord
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv -- Nationalekonomi (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business -- Economics (hsv//eng)
- NATURVETENSKAP -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Probability Theory and Statistics (hsv//eng)
Nyckelord
- Autocorrelation
- Bootstrap
- Dynamic models
- Test for autocorrelation
- Economics
- Nationalekonomi
- dynamic models
- autocorrelation
- bootstrap
- test tor autocorrelation
Publikations- och innehållstyp
- ref (ämneskategori)
- art (ämneskategori)
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