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Applied Economics Letters Volume 17, 2010 - Issue 4
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Original Articles

The effect of a variance shift on the Breusch–Godfrey's LM test

Joo-Yeon Hyun School of Economics, Yonsei University, Seoul, 120–749, Korea
,
Hyeong Ho Mun Department of Economics, University of Pennsylvania, Philadelphia, 19104-6297, USA
,
Tae-Hwan Kim School of Economics, Yonsei University, Seoul, 120–749, KoreaCorrespondence[email protected]
&
Jinook Jeong School of Economics, Yonsei University, Seoul, 120–749, Korea
Pages 399-404 | Published online: 25 Aug 2009

Citations (4)

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Read on this site (2)

Hyeong-Ho Mun, Eun-Young Shim & Tae-Hwan Kim. (2014) A robust test for autocorrelation in the presence of a structural break in variance. Journal of Statistical Computation and Simulation 84:7, pages 1552-1562.
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Jinook Jeong & Byunguk Kang. (2012) Wild-bootstrapped variance-ratio test for autocorrelation in the presence of heteroskedasticity. Journal of Applied Statistics 39:7, pages 1531-1542.
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Articles from other publishers (2)

Qamar uz Zaman, Zilong Wang, Shah Zaman & Samma Faiz Rasool. (2021) Investigating the nexus between education expenditure, female employers, renewable energy consumption and CO2 emission: Evidence from China. Journal of Cleaner Production 312, pages 127824.
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Jiao Ma & Junhao Xie. (2012) Quantitative correlation test of colored noise using differentiation method. Quantitative correlation test of colored noise using differentiation method.

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