A study of several new and existing tests for heteroscedasticity in the general linear model

DOI10.1016/0304-4076(84)90026-5zbMATH Open0555.62041OpenAlexW2065708732MaRDI QIDQ760733FDOQ760733

Authors: Mukhtar M. Ali, Carmelo Giaccotto 

Publication date: 1984

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

Full work available at URL: https://doi.org/10.1016/0304-4076(84)90026-5

Recommendations

• The robustness, reliabiligy and power of heteroskedasticity tests
• Robust Testing Procedures in Heteroscedastic Linear Models
• A nonparametric hypothesis test for heteroscedasticity in multiple regression
• New tests of heteroskedasticity in linear regression model
• scientific article; zbMATH DE number 472928

zbMATH Keywords

powergeneral linear modelordinary least squaresrobustnesstests for heteroscedasticitycomparison of testsOLS residual estimates

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Linear regression; mixed models (62J05) Applications of statistics to economics (62P20)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Using residuals robustly I: Tests for heteroscedasticity, nonlinearity
• A comparison of the power of some tests for heteroskedasticity in the general linear model
• Estimating Regression Models with Multiplicative Heteroscedasticity
• A Class of Parametric Tests for Heteroscedasticity in Linear Econometric Models
• A Simple Test for Heteroscedasticity and Random Coefficient Variation
• A Test for Heteroscedasticity Based on Ordinary Least Squares Residuals
• Title not available (Why is that?)
• Title not available (Why is that?)
• Independent Stepwise Residuals for Testing Homoscedasticity

Cited In (17)

• Some results on the Glejser and Koenker tests for heteroskedasticity
• The power and robustness properties of tests for heteroskedasticity when the regressors are trended
• Heteroscedasticity testing after outlier removal
• Rejection rates of bootstrapped and exact heteroskedasticity tests in response to skedastic function and normal or skewed disturbances
• JACKKNIFE TESTS FOR HETEROSCEDASTICITY IN THE GENERAL LINEAR MODEL
• Testing for heteroscedasticity occuring at unknown points
• Rank tests in heteroscedastic linear model with nuisance parameters
• A test for heteroscedasticity and non-normality of regression residuals: a practical approach
• Approximate power of heteroscedasticity test in nonlinear models with ARIMA(0,1,0) errors
• New tests of heteroskedasticity in linear regression model
• Simulation-based finite-sample tests for heteroskedasticity and ARCH effects
• Testing for heteroscedasticity in regression models
• Monte Carlo power comparison of seven most commonly used heteroscedasticity tests
• Generalized LM tests for functional form and heteroscedasticity
• Comparing the Wald, LR and LM tests for heteroscedasticity in a linear regression model
• A note on algebraic equivalence of White's test and a variation of the Godfrey/Breusch-Pagan test for heteroscedasticity
• Robustifying Glejser test of heteroskedasticity

This page was built for publication: A study of several new and existing tests for heteroscedasticity in the general linear model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q760733)