Shukur, Ghazi: The Robustness of the Systemwise Breusch-Godfrey Autocorrelation Test for Non-Normal Distributed Error Terms
World Conference Econometric Society, 2000, Seattle

Ghazi Shukur, Goteborg University
The Robustness of the Systemwise Breusch-Godfrey Autocorrelation Test for Non-Normal Distributed Error Terms
Session: C-13-20  Wednesday 16 August 2000  by Shukur, Ghazi
Using Monte Carlo methods, the properties of systemwise generalisations of the Breusch-Godfrey test for autocorrelated errors are studied in situations when the error terms follow either normal or non-normal distributions, and when these errors follow either AR(1) or MA(1) processes. Edgerton and Shukur (1999) studied the properties of the test using normally distributed error terms and when these errors follow an AR(1) process. When the errors follow a non-normal distribution, the performances of the tests deteriorate especially when the tails are very heavy. The performances of the tests become better (as in the case when the errors are generated by the normal distribution) when the errors are less heavy tailed.


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