Testing for conditional heteroskedasticity with misspecified alternative hypotheses

DOI10.1016/S0304-4076(97)88956-7zbMath1130.62402MaRDI QIDQ1265788

Naorayex K. Dastoor

Publication date: 27 September 1998

Published in: Journal of Econometrics (Search for Journal in Brave)

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62F03: Parametric hypothesis testing

Related Items

ARCH tests and quantile regressions, Robust tests for heteroskedasticity in the one-way error components model, Testing for conditional heteroskedasticity with misspecified alternative hypotheses

Cites Work

• Unnamed Item
• Unnamed Item
• A Simple Test for Heteroscedasticity and Random Coefficient Variation
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Maximum Likelihood Specification Testing and Conditional Moment Tests
• Diagnostic testing and evaluation of maximum likelihood models
• A note on algebraic equivalence of White's test and a variation of the Godfrey/Breusch-Pagan test for heteroscedasticity
• A heteroscedasticity-consistent covariance matrix estimator for time series regressions
• A note on Studentizing a test for heteroscedasticity
• A note on a heteroscedastic model
• Testing for multiplicative heteroskedasticity
• Testing for conditional heteroskedasticity with misspecified alternative hypotheses
• Tests of specification for parametric and semiparametric models
• Some results on the Glejser and Koenker tests for heteroskedasticity
• On the application of robust, regression-based diagnostics to models of conditional means and conditional variances
• Nonlinear Regression with Dependent Observations
• Diagnostic tests as residual analysis
• Implicit Alternatives and the Local Power of Test Statistics
• Nonlinear Regression on Cross-Section Data
• Power of the Noncentral F-Test: Effect of Additional Variates on Hotelling's T 2 -Test