Alternative approaches to implementing Lagrange multiplier tests for serial correlation in dynamic regression models

USING THE WILD BOOTSTRAP TO IMPLEMENT HETEROSKEDASTICITY-ROBUST TESTS FOR SERIAL CORRELATION IN DYNAMIC REGRESSION MODELS* by

Conditional heteroskedasticity is a common feature of financial and macroeconomic time series data. When such data are used to estimate dynamic regression models, standard checks for serial correlation are inappropriate. In such circumstances, it is obviously important to have valid tests that are reliable in finite samples. Generalizations of the standard Lagrange multiplier test and a Hausman...

Optimal Growth Models and the Lagrange Multiplier∗

We provide sufficient conditions on the objective functional and the constraint functions under which the Lagrangean can be represented by a ` sequence of multipliers in infinite horizon discrete time optimal growth models.

WALD. LIKELIHOOD RATIO, AND LAGRANGE MULTiPLIER TESTS IN ECONOMETRICS

5.1. The problem 5.2. The test statistics 5.3. The inequality 5.4. A numerical example 5.5. Instrumental variables 6. Asymptotic equivalence and optimality of the test statistics 7. The Lagrange Multiplier test as a diagnostic 8. Lagrange Multiplier tests for non-spherical disturbances 8.1. Testing for heteroscedasticity 8.2. Serial correlation 9. Testing the specification of the mean in severa...

• Serial Correlation in Regression Analysis

Serial Correlation Tests with Wavelets

This paper offers two new statistical tests for serial correlation with better power properties. The first test is concerned with wavelet-based portmanteau tests of serial correlation. The second test extends the wavelet-based tests to the residuals of a linear regression model. The wavelet approach is appealing, since it is based on the different behavior of the spectra of a white noise proces...