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The Robustness of Some Standard Tests for Autocorrelation and Heteroskedasticity when Both Problems Are Present
Thomas W. Epps
Mary Lee Epps
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.
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