Econometrica: Apr 1977, Volume 45, Issue 3

The Robustness of Some Standard Tests for Autocorrelation and Heteroskedasticity when Both Problems Are Present<745:TROSST>2.0.CO;2-#
p. 745-754

Mary Lee Epps, Thomas W. Epps

This paper considers (i) the robustness of the @t and Durbin-Watson bounds tests for first-order autocorrelation when disturbances in the linear regression model are heteroskedastic and (ii) the robustness of the Goldfeld-Quandt and Glejser tests for heteroskedasticity when the disturbances follow a first-order autoregressive scheme.

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