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Items for "Autocorrelation"

Bootstrapping the Breusch-Godfrey autocorrelation test for a single equation dynamic model: Bootstrapping the Restricted vs. Unrestricted model

We use Monte Carlo methods to study the properties of the bootstrap Breusch-Godfrey test for autocorrelated errors in two versions a) by bootstrapping under the null hypothesis, restricted and b) by bootstrapping under the alternative hypothesis, unrestricted...

Keywords: Autocorrelation, bootstrap, Breusch-Godfrey test method

09/2003 | Monte Carlo Methods and Applications, Walter de Gruyter