Jeong, Jinook; Kang, Byunguk - In: Journal of Applied Statistics 39 (2012) 7, pp. 1531-1542
The Breusch--Godfrey LM test is one of the most popular tests for autocorrelation. However, it has been shown that the LM test may be erroneous when there exist heteroskedastic errors in a regression model. Recently, remedies have been proposed by Godfrey and Tremayne [9] and Shim <italic>et al.</italic> [21]....