A Class of Parametric Tests for Heteroscedasticity in Linear Econometric Models

DOI10.2307/1913831zbMath0391.62018OpenAlexW2043451518MaRDI QIDQ4172778

Jerzy Szroeter

Publication date: 1978

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1913831

zbMATH Keywords

HeteroscedasticityDurbin-Watson Bounding RatiosDynamic Simultaneous Equations ModelsLeast Squares RegressionLinear Econometric ModelsNonstochastic RegressorsParametric TestsVon Neumann Ratio

Mathematics Subject Classification ID

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

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Some results on the Glejser and Koenker tests for heteroskedasticity ⋮ The power and robustness properties of tests for heteroskedasticity when the regressors are trended ⋮ Simulation-based finite-sample tests for heteroskedasticity and ARCH effects ⋮ New tests of heteroskedasticity in linear regression model ⋮ Testing heteroscedasticity in nonlinear and nonparametric regressions ⋮ A study of several new and existing tests for heteroscedasticity in the general linear model ⋮ Testing the equality of the variances of two linear models ⋮ Linear unbiased approximators of the disturbances in the standard linear model

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