427
Views
4
CrossRef citations to date
0
Altmetric
Original Articles

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

, , &
Pages 399-404 | Published online: 25 Aug 2009

References

  • Breusch , T. 1978 . Testing for autocorrelation in dynamic linear models . Australian Economic Papers , 17 : 334 – 55 .
  • Busetti , F. and Taylor , A. M. R. 2003 . Variance shifts, structural breaks, and stationarity tests . Journal of Business and Economic Statistics , 21 : 510 – 31 .
  • Cavaliere , G. 2004 . Testing stationarity under a permanent variance shift . Economics Letters , 82 : 403 – 8 .
  • Cavaliere , G. and Taylor , A. M. R. 2005 . Stationarity tests under time-varying variances . Econometric Theory , 21 : 1112 – 29 .
  • Diebold , F. X. 1992 . Testing for serial correlation in the presence of ARCH . Journal of the American Statistical Association , 87 : 323 – 8 .
  • Edgerton , D. L. and Shukur , G. 1999 . Testing autocorrelation in a system perspective . Econometric Reviews , 18 : 343 – 86 .
  • Godfrey , L. 1978 . Testing against general autoregressive and moving average error models when the regressors include lagged dependent varibles . Econometrica , 46 : 1293 – 302 .
  • Guo, B. B. and Phillips, P. C. B. (2001) Testing for autocorrelation and unit roots in the presence of conditional heteroskedasticity of unknown form, Economics Working Paper No. 540, Yale University, Santa Cruz
  • Kim , T.-H. , Leybourne , S. and Newbold , P. 2002 . Unit root tests with a break in innovation . Journal of econometrics , 109 : 365 – 87 .
  • Kim , C.-J. , Nelson , C. R. and Piger , J. 2004 . The less-volatile US Economy: a Bayesian investigation of timing, breadth, and potential explanations . Journal of Business and Economic Statistics , 22 : 80 – 93 .
  • Kiviet , J. 1986 . On the rigour of some misspecification tests for modelling dynamic relationships . Review of Economic Studies , 53 : 241 – 61 .
  • Mantalos , P. and Shukur , G. 2005 . The effect of the GARCH (1,1) on autocorrelation tests in dynamic systems of equations . Applied Economics , 37 : 1907 – 13 .
  • Noh , J. and Kim , T.-H. 2003 . Behavior of cointegration tests in the presence of structural breaks in variance . Applied Economics Letters , 10 : 999 – 1002 .
  • Sensier , M. and Dijk , D. 2004 . Testing for volatility changes in US macroeconomic time series . The Review of Economics and Statistics , 86 : 833 – 9 .
  • Wooldridge , J. M. 1991 . On the application of robust, regression-based diagnostics to models of conditional means and conditional variances . Journal of Econometrics , 47 : 5 – 46 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.