The performance of robust modification of Breusch-Godfrey test in the presence of outliers
Autocorrelation problem causes unduly effects on the variance of Ordinary Least Squares (OLS) estimates. Hence, it is very essential to detect the autocorrelation problem so that appropriate remedial measures can be taken. The Breusch-Godfrey (BG) test is the most popular and commonly used test for...
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| Format: | Article |
| Language: | English |
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Universiti Putra Malaysia Press
2014
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| Online Access: | http://psasir.upm.edu.my/id/eprint/40558/1/43.%20The%20Performance%20of%20Robust%20Modification%20of%20Breusch-Godfrey.pdf |
| _version_ | 1825949623808688128 |
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| author | Lim, Hock Ann Midi, Habshah |
| author_facet | Lim, Hock Ann Midi, Habshah |
| author_sort | Lim, Hock Ann |
| collection | UPM |
| description | Autocorrelation problem causes unduly effects on the variance of Ordinary Least Squares (OLS) estimates. Hence, it is very essential to detect the autocorrelation problem so that appropriate remedial measures can be taken. The Breusch-Godfrey (BG) test is the most popular and commonly used test for the detection of autocorrelation. Since this test is based on the OLS estimates, which are not robust, it is easily affected by outliers. In this paper, we propose a robust Breusch-Godfrey (MBG) test which is not easily affected by outliers. The results of the study indicate that the MBG test is more powerful than the BG test in the detection of autocorrelation problem. |
| first_indexed | 2024-03-06T08:47:25Z |
| format | Article |
| id | upm.eprints-40558 |
| institution | Universiti Putra Malaysia |
| language | English |
| last_indexed | 2024-03-06T08:47:25Z |
| publishDate | 2014 |
| publisher | Universiti Putra Malaysia Press |
| record_format | dspace |
| spelling | upm.eprints-405582015-11-05T04:19:26Z http://psasir.upm.edu.my/id/eprint/40558/ The performance of robust modification of Breusch-Godfrey test in the presence of outliers Lim, Hock Ann Midi, Habshah Autocorrelation problem causes unduly effects on the variance of Ordinary Least Squares (OLS) estimates. Hence, it is very essential to detect the autocorrelation problem so that appropriate remedial measures can be taken. The Breusch-Godfrey (BG) test is the most popular and commonly used test for the detection of autocorrelation. Since this test is based on the OLS estimates, which are not robust, it is easily affected by outliers. In this paper, we propose a robust Breusch-Godfrey (MBG) test which is not easily affected by outliers. The results of the study indicate that the MBG test is more powerful than the BG test in the detection of autocorrelation problem. Universiti Putra Malaysia Press 2014 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/40558/1/43.%20The%20Performance%20of%20Robust%20Modification%20of%20Breusch-Godfrey.pdf Lim, Hock Ann and Midi, Habshah (2014) The performance of robust modification of Breusch-Godfrey test in the presence of outliers. Pertanika Journal of Science & Technology, 22 (1). pp. 81-94. ISSN 0128-7680; ESSN: 2231-8526 http://pertanika.upm.edu.my/Pertanika%20PAPERS/JST%20Vol.%2022%20(1)%20Jan.%202014/08%20Page%2081-94%20(JST%200301-2011).pdf |
| spellingShingle | Lim, Hock Ann Midi, Habshah The performance of robust modification of Breusch-Godfrey test in the presence of outliers |
| title | The performance of robust modification of Breusch-Godfrey test in the presence of outliers |
| title_full | The performance of robust modification of Breusch-Godfrey test in the presence of outliers |
| title_fullStr | The performance of robust modification of Breusch-Godfrey test in the presence of outliers |
| title_full_unstemmed | The performance of robust modification of Breusch-Godfrey test in the presence of outliers |
| title_short | The performance of robust modification of Breusch-Godfrey test in the presence of outliers |
| title_sort | performance of robust modification of breusch godfrey test in the presence of outliers |
| url | http://psasir.upm.edu.my/id/eprint/40558/1/43.%20The%20Performance%20of%20Robust%20Modification%20of%20Breusch-Godfrey.pdf |
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