A test of autocorrelation in the presence of heteroskedasticity of unknown form

Abstract

This paper develops a test of autocorrelation in the presence of heteroskedasticity of unknown form in the nonlinear regression model. The test statistic is based on the sample autocovariance of the residuals standardized by a nonparametric kernel estimate of the unknown heteroskedasticity function. Under appropriate conditions, the test statistic is shown to have a limiting chi-square distribution. Local power and consistency results for the test are also established. Monte Carlo experiments show that the test has reasonable size performance and generally dominates some of the existing tests in terms of finite-sample power.