A joint test for serial correlation and heteroscedasticity

Maxwell L. King; Merran A. Evans

doi:10.1016/0165-1765(84)90179-4

A joint test for serial correlation and heteroscedasticity

Maxwell L. King, Merran A. Evans

Econometrics & Business Statistics

Research output: Contribution to journal › Article › Research › peer-review

7 Citations (Scopus)

Abstract

The problem of testing jointly for first-order autoregressive and heteroscedastic disturbances in the linear regression model is considered. A test which is most powerful invariant in a predetermined neighbourhood of the alternative hypothesis parameter space is proposed.

Original language	English
Pages (from-to)	297-302
Number of pages	6
Journal	Economics Letters
Volume	16
Issue number	3-4
DOIs	https://doi.org/10.1016/0165-1765(84)90179-4
Publication status	Published - 1984

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title = "A joint test for serial correlation and heteroscedasticity",

abstract = "The problem of testing jointly for first-order autoregressive and heteroscedastic disturbances in the linear regression model is considered. A test which is most powerful invariant in a predetermined neighbourhood of the alternative hypothesis parameter space is proposed.",

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AU - Evans, Merran A.

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N2 - The problem of testing jointly for first-order autoregressive and heteroscedastic disturbances in the linear regression model is considered. A test which is most powerful invariant in a predetermined neighbourhood of the alternative hypothesis parameter space is proposed.

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JO - Economics Letters

JF - Economics Letters

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A joint test for serial correlation and heteroscedasticity

Abstract

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