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Persistent link: https://www.econbiz.de/10003979503
In this article, we study the impact of an abrupt change in variance on the Breusch-Godfrey's LM test for autocorrelation. It is demonstrated by Monte Carlo simulations that a break in variance can generate spurious rejections of the null hypothesis of no serial correlation. Hence, a researcher...
Persistent link: https://www.econbiz.de/10008582800