Robust tests for heteroskedasticity in the one-way error components model
DOI10.1016/J.JECONOM.2010.09.010zbMATH Open1441.62814OpenAlexW2000714874MaRDI QIDQ737286FDOQ737286
Walter Sosa-Escudero, Gabriel Montes-Rojas
Publication date: 10 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://openaccess.city.ac.uk/id/eprint/12023/10/CC%20BY-NC-ND%204.0.pdf
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Parametric hypothesis testing (62F03) Linear regression; mixed models (62J05) Applications of statistics to economics (62P20) Robustness and adaptive procedures (parametric inference) (62F35)
Cites Work
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- Model specification tests. A simultaneous approach
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- Testing for conditional heteroskedasticity with misspecified alternative hypotheses
Cited In (14)
- Robust heteroskedasticity-robust tests
- Joint LM test for homoskedasticity in a one-way error component model
- Moment-based tests for individual and time effects in panel data models
- Testing for serial correlation in hierarchical linear models
- Tests for skewness and kurtosis in the one-way error component model
- Inference about clustering and parametric assumptions in covariance matrix estimation
- Robust testing for random effects in unbalanced heteroscedastic one-way models
- Test for the covariance matrix in time-varying coefficients panel data models with fixed effects
- Testing for distributional features in varying coefficient panel data models
- Pricing anomaly at the first sight: same borrower in different currencies faces different credit spreads -- an explanation by means of a quanto option
- Testing for heteroskedasticity in two-way fixed effects panel data models
- A Joint Score Test for Heteroscedasticity in the Two Way Error Components Model
- Robustifying Glejser test of heteroskedasticity
- Testing for heteroskedasticity in fixed effects models
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