Testing for multiplicative heteroskedasticity

DOI10.1016/0304-4076(78)90031-3zbMath0401.62087OpenAlexW2063742147MaRDI QIDQ1255290

Leslie G. Godfrey

Publication date: 1978

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

Full work available at URL: https://doi.org/10.1016/0304-4076(78)90031-3

zbMATH Keywords

Monte Carlo ExperimentsLarge Sample TestMultiplicative HeteroskedasticityRegression ModelSample Bahaviour

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear inference, regression (62J99)

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Cites Work

• Unnamed Item
• A comparison of the power of some tests for heteroskedasticity in the general linear model
• The Lagrangian Multiplier Test
• Estimating Regression Models with Multiplicative Heteroscedasticity
• Computing the distribution of quadratic forms in normal variables

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