Testing for Autocorrelation in Dynamic Linear Models

Breusch, T. S. (1978). Testing for Autocorrelation in Dynamic Linear Models.

Type

Unclassified

Intellectual base

Unclassified

Year

1978

DOI

10.1111/j.1467-8454.1978.tb00635.x

Link

https://doi.org/10.1111/j.1467-8454.1978.tb00635.x

Cited by

1 citation across 1 artifact.

Domain-specific

• Breusch–Godfrey test
  • The LM statistic is asymptotically chi-square under regularity conditions; lag order, deterministic terms, heteroskedasticity and small-sample F variants affect interpretation.

Verification

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Registry ID ref:8b52f6ae5ddc · see in the full table