Testing for heteroscedasticity in simultaneous equation models

DOI10.1016/0304-4076(81)90098-1zbMath0464.62105OpenAlexW1998885465MaRDI QIDQ1154208

Andrew C. Harvey, Garry D. A. Phillips

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)90098-1

zbMATH Keywords

exact testssimultaneous equation modelsLagrangian multiplier testapproximate testsGoldfeld-Quandt teststesting heteroscedasticity

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Monte Carlo methods (65C05)

Related Items (2)

Testing for heteroscedasticity in simultaneous equation models ⋮ Recursive stability analysis of linear regression relationships. An exploratory methodology

Cites Work

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• A Simple Test for Heteroscedasticity and Random Coefficient Variation
• Testing for heteroscedasticity in simultaneous equation models
• Testing for multiplicative heteroskedasticity
• A comparison of the power of some tests for heteroskedasticity in the general linear model
• TESTING FOR SERIAL CORRELATION IN SYSTEMS OF SIMULTANEOUS REGRESSION EQUATIONS
• Testing for Serial Correlation in Simultaneous Equation Models
• Estimating Regression Models with Multiplicative Heteroscedasticity

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