Generalized LM tests for functional form and heteroscedasticity

DOI10.1111/J.1368-423X.2008.00242.XMaRDI QIDQ3521280zbMATH OpenOpenAlexFDO

Authors Zhenlin Yang, Yiu Kuen Tse

Publication date 21 August 2008

Published in Econometrics Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1368-423x.2008.00242.x

zbMATH Keywords

Box-Cox transformationdouble length regressionfunctional formheteroscedasticityLM testsrobustness

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

Recommendations

• A study of several new and existing tests for heteroscedasticity in the general linear model
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• The robustness, reliabiligy and power of heteroskedasticity tests
• Testing for linear and log-linear regressions with heteroscedasticity

Cites work

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• An Analysis of Transformations Revisited
• Comparing the Wald, LR and LM tests for heteroscedasticity in a linear regression model
• Double-length regressions for the Box--Cox difference model with heteroskedasticity or autocorrelation
• Erratum to: Testing linear and loglinear error components regressions against Box-Cox alternatives
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Cited in

(6)

• Tests of transformation in nonlinear regression
• A test for heteroscedasticity in functional linear models
• Misspecification and estimation effect in the Lagrange multiplier tests for heteroskedasticity
• Testing for heteroscedasticity in a dynamic simultaneous equation model
• Joint test for functional forms and heteroscedasticity with property sales and valuation data
• Asymptotics and bootstrap for random-effects panel data transformation models

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