Econometrica Vol. 45 No. 3 1977
The Robustness of Some Standard Tests for Autocorrelation and Heteroskedasticity when Both Problems Are Present
Abstract
[This paper considers (i) the robustness of the @t and Durbin-Watson bounds tests for first-order autocorrelation when disturbances in the linear regression model are heteroskedastic and (ii) the robustness of the Goldfeld-Quandt and Glejser tests for heteroskedasticity when the disturbances follow a first-order autoregressive scheme.]
- DOI
- 10.2307/1911687
- Volume
- 45
- Issue
- 3
- Pages
- 745
- Sources
- bibtex:phds-export.bib openalex crossref