The Durbin Watson, DW, test for first order autocorrelation in regression residuals is among the most widely applied … errors in a seasonal model. Considering the PAR(1) process, we show such errors display both (seasonal) autocorrelation and …

heteroscedasticity and autocorrelation in asset returns are the primary sources of test mis-specification in these linearity …-in-the-mean hypothesis tests. To address this problem, an innovative approach is proposed to control heteroscedasticity and autocorrelation … the theme of the previous two studies, the effects of heteroscedasticity and autocorrelation are examined in the portfolio …

generalized residual-based tests. The tests exhibit impressive power to detect both autocorrelation and autoregressive conditional …?British pound exchange rate, with the finding that both autocorrelation and GARCH effects are needed to adequately fit the data. …

drilling rigs, and accounting for the impact of autocorrelation on the analysis. The results for jack-ups, without adjustment … for autocorrelation, supported the results of the prior study i.e. showing that increase in HHI causes rig day rate price …