Testing for Heteroscedasticity and/or Correlation in Nonlinear Models with Correlated Errors

DOI10.1081/STA-120028373zbMATH Open1102.62070OpenAlexW2083544686MaRDI QIDQ3155259FDOQ3155259

Authors: Jinguan Lin, Bocheng Wei 

Publication date: 14 January 2005

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/sta-120028373

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Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) General nonlinear regression (62J02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15)

Cites Work

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• Use of Modified Profile Likelihood for Improved Tests of Constancy of Variance in Regression
• Diagnostics for heteroscedasticity in regression
• A Test for Heteroscedasticity Based on Ordinary Least Squares Residuals
• Joint mean-covariance models with applications to longitudinal data: unconstrained parameterisation
• Maximum likelihood estimation of generalised linear models for multivariate normal covariance matrix
• Title not available (Why is that?)
• Title not available (Why is that?)
• Testing for Heteroscedasticity in Nonlinear Regression Models
• Score Tests for Regression Models
• Modeling Nonstationary Longitudinal Data
• The Robustness of Some Standard Tests for Autocorrelation and Heteroskedasticity when Both Problems Are Present
• Nonlinear Regression with Autoregressive Time Series Errors

Cited In (19)

• Diagnostics for skew-normal nonlinear regression models with AR(1) errors
• Testing for Heteroscedasticity and/or Autocorrelation in Longitudinal Mixed Effect Nonlinear Models with AR(1) Errors
• Title not available (Why is that?)
• Testing of correlation and heteroscedasticity in nonlinear regression models with DBL\((p,q,1)\) random errors
• Heteroscedasticity and/or autocorrelation checks in longitudinal nonlinear models with elliptical and AR(1) errors
• Heteroscedasticity diagnostics in two-phase linear regression models
• Title not available (Why is that?)
• Tests of heteroscedasticity and correlation in multivariate \(t\) regression models with AR and ARMA errors
• Testing for heteroscedasticity and autocorrelation in nonlinear models with AR(\(p\)) errors
• Testing of Homogeneity for Correlation and Variance in Nonlinear Regression Models with DBL(p, 0, 1) Random Errors
• The performance of robust two-stage estimator in nonlinear regression with autocorrelated error
• The multiplicative heteroscedastic von Bertalanffy model
• Diagnostics for elliptical linear mixed models with first-order autoregressive errors
• Heteroscedasticity diagnostics for \(t\) linear regression models
• Asymptotic properties of the score test for varying dispersion in exponential family nonlinear models
• Testing Symmetry of the Error Distribution in Nonlinear Heteroscedastic Models
• Heteroscedasticity and/or autocorrelation diagnostics in nonlinear models with AR(1) and symmetrical errors
• Heteroscedasticity diagnostics in varying-coefficient partially linear regression models and applications in analyzing Boston housing data
• Diagnostics for a linear model with first-order autoregressive symmetrical errors

Uses Software

• GLIM

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