Wild-bootstrapped variance-ratio test for autocorrelation in the presence of heteroskedasticity

Jinook Jeong; Byunguk Kang

首页> 外文期刊>Journal of applied statistics >Wild-bootstrapped variance-ratio test for autocorrelation in the presence of heteroskedasticity

【24h】

Wild-bootstrapped variance-ratio test for autocorrelation in the presence of heteroskedasticity

机译：在存在异方差的情况下进行自相关的自举方差比检验

获取原文

获取原文并翻译 | 示例

掌桥外文数据库（机构版） >>

开具论文收录证明 >>

文献代查 >>

页面导航

摘要
著录项
相似文献
相关主题

摘要

The Breusch-Godfrey LM test is one of the most popular tests for autocorrelation. However, it has been shown that the LM test may be erroneous when there exist heteroskedastic errors in a regression model. Recently, remedies have been proposed by Godfrey and Tremayne [9] and Shim et al. [21]. This paper suggests three wild-bootstrapped variance-ratio (WB-VR) tests for autocorrelation in the presence of heteroskedasticity. We show through a Monte Carlo simulation that our WB-VR tests have better small sample properties and are robust to the structure of heteroskedasticity.

机译：Breusch-Godfrey LM测试是自相关性最受欢迎的测试之一。但是，已经表明，当回归模型中存在异方差时，LM检验可能是错误的。最近，Godfrey和Tremayne [9]和Shim等人提出了补救措施。 [21]。本文建议在存在异方差的情况下进行自相关的三个自举方差比（WB-VR）测试。我们通过蒙特卡洛模拟显示，我们的WB-VR测试具有更好的小样本属性，并且对异方差结构具有鲁棒性。

著录项

来源
《Journal of applied statistics》 |2012年第8期|p.1531-1542|共12页
作者
Jinook Jeong; Byunguk Kang;
展开▼
作者单位

School of Economics, Yonsei University, Seoul 120-749, Republic of Korea;

Department of Economics,McGill University, 845 Sherbrooke St. W., Montreal, Quebec, Canada H3A 2T5;

展开▼
收录信息
原文格式 PDF
正文语种 eng
中图分类
关键词
variance-ratio test; breusch-godfrey lm test; autocorrelation; heteroskedasticity; wild bootstrap;

机译：方差比检验布鲁斯-戈弗雷lm检验;自相关异方差野性的引导;

相似文献

外文文献
中文文献
专利

1. Does Purchasing Power Parity hold? New evidence from wild-bootstrapped nonlinear unit root tests in the presence of heteroskedasticity [J] . Jen-Je Su, Adrian (Wai-Kong) Cheung, Eduardo Roca Economic modelling . 2014,第Jana期

机译：购买力平价是否成立？异方差存在下的自举非线性单元根测试的新证据
2. Testing for spatial group-wise heteroskedasticity in spatial autocorrelation regression models: Lagrange multiplier scan tests [J] . Le Gallo Julie, Lopez Fernando A., Chasco Coro The Annals of regional science . 2020,第2期

机译：在空间自相关回归模型中测试按空间分组的异方差性：Lagrange乘数扫描测试
3. Generalized Variance-Ratio Tests in the Presence of Statisticaln Dependence [J] . Nankervis John C., Kougoulis Periklis, Coakley Jerry Journal of Time Series Analysis . 2015,第5期

机译：统计相关性存在下的广义方差比检验
4. Power of Heteroskedasticity Tests in Presence of Various Types of Skedastic Function and Sample Size [C] . Vaclav Adamec International Conference of Numerical Analysis and Applied Mathematics . 2017

机译：异源性瘢痕度试验的力量在存在各种类型的透明功能和样本尺寸
5. High Dimensional Time Series: Mean Vector Testing and Testing for Autocorrelation Matrices [D] . Ayyala, Deepak Nag. 2013

机译：高维时间序列：均值向量测试和自相关矩阵的测试
6. Laplace Variational Approximation for Semiparametric Regression in the Presence of Heteroskedastic Errors [O] . Bruce D. Bugbee, F. Jay Breidt, Mark J. van der Woerd -1

机译：存在异方差时半参数回归的拉普拉斯变分逼近
7. Wild-Bootstrapped Variance Ratio Test for Autocorrelation in the Presence of Heteroskedasticity [O] . Jinook Jeong, Byunguk Kang 2008

机译：在异方差性存在下自相关的Wild-Bootstrapped方差比检验

Wild-bootstrapped variance-ratio test for autocorrelation in the presence of heteroskedasticity

摘要

著录项

相似文献

相关主题

期刊订阅