Joint estimation and testing for functional form and heteroskedasticity

DOI10.1016/0304-4076(81)90119-6zbMath0449.62049OpenAlexW2155770719MaRDI QIDQ1147469

Kajal Lahiri, Daniel Egy

Publication date: 1981

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

Full work available at URL: https://doi.org/10.1016/0304-4076(81)90119-6

zbMATH Keywords

testingfunctional formheteroskedasticitynon-linearityjoint estimationmaximum likelihood procedure

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear regression; mixed models (62J05)

Related Items

Small sample properties of the two-step and three-step estimators in a heteroscedastic linear regression model and the Bayesian alternative ⋮ Testing for linear and log-linear regressions with heteroscedasticity ⋮ Generalized LM tests for functional form and heteroscedasticity ⋮ Regression Model Selection—A Residual Likelihood Approach ⋮ Model specification tests. A simultaneous approach ⋮ Arch model with Box-Cox transformed dependent variable

Cites Work

• Estimation and testing for functional form and autocorrelation
• Regression Analysis when the Variance of the Dependent Variable is Proportional to the Square of its Expectation
• A General Procedure for Obtaining Maximum Likelihood Estimates in Generalized Regression Models
• A note on problems in estimating exponential urban density models
• Generalized Production Functions
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