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Alternative Tests for Serial Independence

Tue, 12 May 2015 15:07:10 GMT

The following question arose in a (fairly) recent email from Daumantas:"I wonder if you could give any references -- or perhaps make a new blog post -- about testing for serial correlation: Breusch-Godfrey versus Ljung-Box test. I have no problem finding material on the two tests (separately), but I am interested in a comparison of the two. Under what conditions should one test be favoured over the other? What pitfalls should one be aware of before choosing one or the other test? Or perhaps...

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