Simulation‐based tests for heteroskedasticity in linear regression models: Some further results

DOI10.1111/j.1368-423X.2006.00177.xzbMath1088.62082MaRDI QIDQ5469920

J. M. C. Santos Silva, Chris D. Orme, Leslie G. Godfrey

Publication date: 26 May 2006

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

zbMATH Keywords

bootstrap; distributional assumptions; exact tests; Monte Carlo tests; Koenker's statistic

Mathematics Subject Classification ID

62G35: Nonparametric robustness

62J05: Linear regression; mixed models

62G09: Nonparametric statistical resampling methods

65C05: Monte Carlo methods

Related Items

A Heteroskedasticity-RobustF-Test Statistic for Individual Effects, New tests of heteroskedasticity in linear regression model, Robust Lagrange multiplier test for detecting ARCH/GARCH effect using permutation and bootstrap, Generalized LM tests for functional form and heteroscedasticity

Uses Software

• bootlib

Cites Work

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• A note on Studentizing a test for heteroscedasticity
• Should stochastic or non-stochastic exogenous variables be used in Monte Carlo experiments?
• Robustifying Glejser test of heteroskedasticity
• Glejser's test revisited
• Exact tests for contemporaneous correlation of disturbances in seemingly unrelated regressions.
• Some results on the Glejser and Koenker tests for heteroskedasticity