This paper considers (i) the robustness of the @t and Durbin-Watson bounds tests for first-order autocorrelation when disturbances in the linear regression model are heteroskedastic and (ii) the robustness of the Goldfeld-Quandt and Glejser tests for heteroskedasticity when the disturbances follow a first-order autoregressive scheme.
MLA
Epps, Mary Lee, and Thomas W. Epps. “The Robustness of Some Standard Tests for Autocorrelation and Heteroskedasticity when Both Problems Are Present.” Econometrica, vol. 45, .no 3, Econometric Society, 1977, pp. 745-754, https://www.jstor.org/stable/1911687
Chicago
Epps, Mary Lee, and Thomas W. Epps. “The Robustness of Some Standard Tests for Autocorrelation and Heteroskedasticity when Both Problems Are Present.” Econometrica, 45, .no 3, (Econometric Society: 1977), 745-754. https://www.jstor.org/stable/1911687
APA
Epps, M. L., & Epps, T. W. (1977). The Robustness of Some Standard Tests for Autocorrelation and Heteroskedasticity when Both Problems Are Present. Econometrica, 45(3), 745-754. https://www.jstor.org/stable/1911687
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