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Alternative approaches to implementing Lagrange multiplier tests for serial correlation in dynamic regression models

Godfrey, L.G. (2007) Alternative approaches to implementing Lagrange multiplier tests for serial correlation in dynamic regression models. Computation Statistics & Data Analysis. pp. 3282-3295.

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Abstract

An approximate F-form of the Lagrange multiplier test for serial correlation in dynamic regression models is compared with three bootstrap tests. In one bootstrap procedure, residuals from restricted estimation under the null hypothesis are resampled. The other two bootstrap tests use residuals from unrestricted estimation under an alternative hypothesis. A fixed autocorrelation alternative is assumed in one of the two unrestricted bootstrap tests and the other is based upon a Pitman-type sequence of local alternatives. Monte Carlo experiments are used to estimate rejection probabilities under the null hypothesis and in the presence of serial correlation.

Item Type: Article
Copyright, Publisher and Additional Information: © 2006 Elsevier B.V. This is an author produced version of a paper subsequently published in 'Computation Statistics & Data Analysis'.
Keywords: bootstrap, serial correlation, Lagrange multiplier test
Academic Units: The University of York > Economics and Related Studies (York)
Depositing User: Repository Officer
Date Deposited: 22 Jun 2007
Last Modified: 17 Oct 2013 14:16
Published Version: http://dx.doi.org/10.1016/j.csda.2006.05.020
Status: Published
Refereed: Yes
Related URLs:
URI: http://eprints.whiterose.ac.uk/id/eprint/2528

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