BURR CRITICAL VALUE APPROXIMATIONS FOR TESTS OF AUTOCORRELATION AND HETEROSCEDASTICITY

Triangular approximations of fuzzy number with value and ambiguity functions

Among-environment heteroscedasticity and genetic autocorrelation: implications for the study of phenotypic plasticity.

The impact of among-environment heteroscedasticity and genetic autocorrelation on the analysis of phenotypic plasticity is examined. Among-environment heteroscedasticity occurs when genotypic variances differ among environments. Genetic autocorrelation arises whenever the responses of a genotype to different environments are more or less similar than expected for observations randomly associate...

A strong consistency proof for heteroscedasticity and autocorrelation consistent covariance matrix estimators

This paper considers strong consistency of heteroscedasticity and autocorrelation consistent covariance matrix estimators. Sometimes such estimators in the literature are referred to as Newey-West estimators. Weak consistency proofs for these estimators can be found in White (1984), Newey and West (1987), Gallant and White (1988), Andrews (1991), Hansen (1992a), and De Jong and Davidson (1997)....

Non-normality and heteroscedasticity robust LM tests of spatial dependence

The standard LM tests for spatial dependence in linear and panel regressions are derived under the normality and homoskedasticity assumptions of the regression disturbances. Hence, they may not be robust against non-normality or heteroskedasticity of the disturbances. Following Born and Breitung (2011), we introduce general methods to modify the standard LM tests so that they become robust agai...

Robust critical values for unit root tests for series with conditional heteroscedasticity errors: An application of the simple NoVaS transformation