Size distortions of the wild bootstrapped HCCME-based LM test for serial correlation in the presence of asymmetric conditional heteroskedasticity-Reference-Cited by-同舟云学术

Size distortions of the wild bootstrapped HCCME-based LM test for serial correlation in the presence of asymmetric conditional heteroskedasticity

Published:2014-06-06 Issue:3 Volume:48 Page:1189-1202
ISSN:0377-7332
Container-title:Empirical Economics
language:en
Short-container-title:Empir Econ

Author:

Grobys Klaus

Publisher

Springer Science and Business Media LLC

Subject

Economics and Econometrics,Social Sciences (miscellaneous),Mathematics (miscellaneous),Statistics and Probability

Link

http://link.springer.com/content/pdf/10.1007/s00181-014-0817-7.pdf

Reference22 articles.

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2. Breusch TS (1978) Testing for autocorrelation in dynamic linear models. Aust Econ Pap 17:334–355

3. Chen CWS, Chiang TC, So MKP (2003) Asymmetrical reaction to US stock-return news: evidence from major stock market based on a double-threshold model. J Econ Bus 55:487–502

4. Chesher A, Jewitt I (1987) The bias of a heteroskedasticity consistent covariance matrix estimator. Econometrica 55:1217–1222

5. Davidson R, Flachaire E (2001) The wild bootstrap, tamed at last. Queen’s Economics Department Working Paper No. 1000. Queen’s University, Kingston

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