The robustness, reliabiligy and power of heteroskedasticity tests
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Publication:4246596
DOI10.1080/07474939908800438zbMATH Open0932.62074OpenAlexW2168185203MaRDI QIDQ4246596FDOQ4246596
Authors: L. G. Godfrey, Chris D. Orme 
Publication date: 14 March 2000
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474939908800438
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Parametric hypothesis testing (62F03) Linear regression; mixed models (62J05) Robustness and adaptive procedures (parametric inference) (62F35)
Cites Work
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- Testing for multiplicative heteroskedasticity
- A comparison of the power of some tests for heteroskedasticity in the general linear model
- Some results on the Glejser and Koenker tests for heteroskedasticity
- An asymptotic expansion for the null distribution of the efficient score statistic
- Robust Tests for Heteroscedasticity Based on Regression Quantiles
- On bartlett and bartlett-type corrections francisco cribari-neto
- A Simple Test for Heteroscedasticity and Random Coefficient Variation
- Diagnostics for heteroscedasticity in regression
- Tests of non-nested regression models: Some results on small sample behaviour and the bootstrap
- Testing hypotheses with estimated scores
- On the corrections to information matrix tests
Cited In (30)
- Bootstrapping heteroskedastic regression models: wild bootstrap vs. pairs bootstrap
- Tests for regression models with heteroskedasticity of unknown form
- Kernel-based testing with skewed and heavy-tailed data: evidence from a nonparametric test for heteroskedasticity
- Title not available (Why is that?)
- Robust heteroskedasticity-robust tests
- Controlling the finite sample significance levels of heteroskedasticity-robust tests of several linear restrictions on regression coefficients
- Glejser's test revisited
- The Finite-Sample Performance of White's Test for Heteroskedasticity Under Stochastic Regressors
- Test of random subject effects in heteroskedastic linear models
- Further results on size and power of heteroskedasticity and autocorrelation robust tests, with an application to trend testing
- Title not available (Why is that?)
- Rejection rates of bootstrapped and exact heteroskedasticity tests in response to skedastic function and normal or skewed disturbances
- A comparison of the power of some tests for conditional heteroscedasticity
- JACKKNIFE TESTS FOR HETEROSCEDASTICITY IN THE GENERAL LINEAR MODEL
- On size and power of heteroskedasticity and autocorrelation robust tests
- CRITICAL VALUE APPROXIMATIONS FOR TESTS OF LINEAR REGRESSION DISTURBANCES
- A robust bootstrap test under heteroskedasticity
- On inference in the presence of heteroskedasticity without replicated observations
- New tests of heteroskedasticity in linear regression model
- Simulation-based finite-sample tests for heteroskedasticity and ARCH effects
- Hajek Inequalities, Measures of Leverage and the Size of Heteroskedasticity Robust Wald Tests
- The Hausman Test, and Some Alternatives, with Heteroskedastic Data
- Simulation‐based tests for heteroskedasticity in linear regression models: Some further results
- Generalized LM tests for functional form and heteroscedasticity
- A study of several new and existing tests for heteroscedasticity in the general linear model
- Heteroskedasticity–robust tests with minimum size distortion
- A Simulation Study of White's Test for Heteroskedasticity in Fixed and Stochastic Regression Models
- Testing for multivariate heteroscedasticity
- Robust Testing Procedures in Heteroscedastic Linear Models
- Robustifying Glejser test of heteroskedasticity
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