The effect of the GARCH(1,1) on autocorrelation tests in dynamic systems of equations
Using Monte Carlo methods, the properties of systemwise generalizations of the Breusch Godfrey test for autocorrelated errors are studied when there are some kinds of GARCH effects among the errors. The analysis, regarding the size of the test, reveals that the GARCH have considerable effects of the properties of the test regarding the size, especially in large systems of equations. The corrected