A comparison of the power of some tests for heteroskedasticity in the general linear model

DOI10.1016/0304-4076(74)90016-5zbMath0289.62048OpenAlexW2016558497MaRDI QIDQ1847125

Andrew C. Harvey, Garry D. A. Phillips

Publication date: 1974

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

Full work available at URL: https://doi.org/10.1016/0304-4076(74)90016-5

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Parametric hypothesis testing (62F03)

Related Items (18)

Stochastic specification and estimation of share equation systems ⋮ Small sample properties of the two-step and three-step estimators in a heteroscedastic linear regression model and the Bayesian alternative ⋮ Some results on the Glejser and Koenker tests for heteroskedasticity ⋮ Monte Carlo power comparison of seven most commonly used heteroscedasticity tests ⋮ Testing for heteroscedasticity occuring at unknown points ⋮ The degree of severity of heteroskedasticity and the traditional goldfeld and quandt pretest estimator ⋮ The power and robustness properties of tests for heteroskedasticity when the regressors are trended ⋮ Testing for heteroscedasticity in simultaneous equation models ⋮ The robustness, reliabiligy and power of heteroskedasticity tests ⋮ Simulation-based finite-sample tests for heteroskedasticity and ARCH effects ⋮ Testing for functional misspecification in regression analysis ⋮ Estimating switching regressions: a computational note ⋮ Recursions for the two-stage least-squares estimators ⋮ Residuals in tests for adequacy of regression relationships ⋮ Testing for multiplicative heteroskedasticity ⋮ A study of several new and existing tests for heteroscedasticity in the general linear model ⋮ Recursive stability analysis of linear regression relationships. An exploratory methodology ⋮ Linear unbiased approximators of the disturbances in the standard linear model

Cites Work

• A Simple Test for Serial Correlation in Regression Analysis
• Computing the distribution of quadratic forms in normal variables
• Independent Stepwise Residuals for Testing Homoscedasticity
• A Monte Carlo Study of Some Small Sample Properties of Tests for Specification Error
• Estimates and Their Sampling Variance of Parameters of Certain Heteroscedastic Distributions
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