Title of article
The Performance of Robust Modification of Breusch-Godfrey Test in the Presence of Outliers
Author/Authors
Lim, H. A. Universiti Putra Malaysia - Faculty of Science - Mathematics Department, Malaysia , Lim, H. A. Kuala Lumpur Infrastructure University College - School of Applied Science and Foundation Studies, Malaysia , Midi, H. Universiti Putra Malaysia - Faculty of Science - Mathematics Department, Malaysia
From page
81
To page
93
Abstract
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.
Keywords
Autocorrelation , outliers , robust Breusch , Godfrey test
Journal title
Pertanika Journal of Science and Technology ( JST)
Journal title
Pertanika Journal of Science and Technology ( JST)
Record number
2651010
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