DefinePK

DefinePK hosts the largest index of Pakistani journals, research articles, news headlines, and videos. It also offers chapter-level book search.

Select Collection

Modified Variance Ratio Test for Autocorrelation in the Presence of Heteroskedasticity

Article Information

Get PDF View Article
Login to Add in Library

Title: Modified Variance Ratio Test for Autocorrelation in the Presence of Heteroskedasticity

Authors: Sohail Chand, Nuzhat Aftab

Journal: Lahore Journal of Economics

HEC Recognition History
Category From To
Y 2024-10-01 2025-12-31
Y 2023-07-01 2024-09-30
Y 2022-07-01 2023-06-30
Y 2021-07-01 2022-06-30
Y 2020-07-01 2021-06-30
Y 1900-01-01 2005-06-30

Publisher: Lahore School of Economics, Lahore

Country: Pakistan

Year: 2018

Volume: 23

Issue: 1

Language: English

DOI: 10.35536/lje.2018.v23.i1.a1

Categories
Statistical Tests (18) Autocorrelation (6) Heteroskedasticity (3) Econometrics (4472) Time Series Analysis (330)

Abstract

Given that autocorrelation tests do not perform well in the presence of heteroskedasticity and in variance-break cases, we present three modified weighted variance ratio tests of autocorrelation. The numerical results show that the proposed tests perform better for small samples. They provide a better approximation of asymptotic distributions and are more powerful when the lag length is mis-specified. The study also applies these tests to data on the daily returns of two companies listed on the Pakistan Stock Exchange.

Paper summary is not available for this article yet.

Loading PDF...

Loading Statistics...