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

DOI10.1016/0304-4076(84)90026-5MaRDI QIDQ760733zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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• A Class of Parametric Tests for Heteroscedasticity in Linear Econometric Models
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• A Simple Test for Heteroscedasticity and Random Coefficient Variation
• A Test for Heteroscedasticity Based on Ordinary Least Squares Residuals
• A comparison of the power of some tests for heteroskedasticity in the general linear model
• Estimating Regression Models with Multiplicative Heteroscedasticity
• Independent Stepwise Residuals for Testing Homoscedasticity
• Using residuals robustly I: Tests for heteroscedasticity, nonlinearity

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
• Rank tests in heteroscedastic linear model with nuisance parameters
• Testing for heteroscedasticity occuring at unknown points
• 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

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