The Power of the Goldfeld-Quandt Test When the Errors are Autocorrelated

We study the exact power of the Goldfeld-Quandt test in a linear regression model with errors which are both heteroscedastic and autocorrelated. The test is not robust to this form of mis-specification, but is less sensitive to autocorrelation in smaller samples.


Issue Date:
Sep 01 1993
Publication Type:
Working or Discussion Paper
Language:
English
Total Pages:
15
Series Statement:
9313




 Record created 2017-09-28, last modified 2017-09-28

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