On the application of robust, regression-based diagnostics to models of conditional means and conditional variances

DOI10.1016/0304-4076(91)90076-PzbMath0725.62064OpenAlexW2008735309MaRDI QIDQ2277722

Jeffrey M. Wooldridge

Publication date: 1991

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

Full work available at URL: https://doi.org/10.1016/0304-4076(91)90076-p

zbMATH Keywords

nonlinear modelscross-sectiontime-seriesLagrange multiplier testconditional meansconditional variancesHausman testscorrect asymptotic sizeincompletely specified dynamicsnonnested hypotheses testsrobust, regression-based diagnostics

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Diagnostics, and linear inference and regression (62J20)

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