Silvapulle, Paramsothy; Evans, Merran - In: Econometric Reviews 17 (1998) 1, pp. 31-55
Standard serial correlation tests are derived assuming that the disturbances are homoscedastic, but this study shows that asympotic critical values are not accurate when this assumption is violated. Asymptotic critical values for the ARCH(2)-corrected LM, BP and BL tests are valid only when the...