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The performance of robust modification of Breusch-Godfrey test in the presence of outliers


Citation

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

Abstract / Synopsis

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.


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Additional Metadata

Item Type: Article
Divisions: Faculty of Science
Publisher: Universiti Putra Malaysia Press
Keywords: Autocorrelation; Outliers; Robust Breusch-Godfrey test
Depositing User: Najah Mohd Ali
Date Deposited: 05 Nov 2015 12:19
Last Modified: 05 Nov 2015 12:19
URI: http://psasir.upm.edu.my/id/eprint/40558
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