A joint test for serial correlation and heteroscedasticity

Maxwell L. King, Merran A. Evans

Research output: Contribution to journalArticleResearchpeer-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 languageEnglish
Pages (from-to)297-302
Number of pages6
JournalEconomics Letters
Volume16
Issue number3-4
DOIs
Publication statusPublished - 1984

Cite this