The robustness of the systemwise Breauch-Godfrey autocorrelation test for non-normal distributed error terms

Abstract

Using Monte Carlo methods, the properties of systemwise generalisations of the BreauchGodfrey test for autocorrelated errors are studied in situations when the error terms follow a normal and non-normal distributions. Edgerton and Shukur (1998) studied the properties of the test using normally distributed error terms. When the errors follow a non-normal distribution, the performances of the tests deteriorate especially when the tails are very heavy, and in this case the results are truly remarkable. The performances of the tests become better (as in the case when the errors are generated by the normal distribution) when the errors are less heavy tailed.