Testing constancy of the error covariance matrix in vector models (Q451274)
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scientific article; zbMATH DE number 6085405
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| English | Testing constancy of the error covariance matrix in vector models |
scientific article; zbMATH DE number 6085405 |
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Testing constancy of the error covariance matrix in vector models (English)
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23 September 2012
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covariance constancy
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error covariance structure
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Lagrange multiplier test
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model misspecification
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Monte Carlo simulation
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0.8162898421287537
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0.8041021227836609
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0.8008944392204285
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0.7848499417304993
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