A Simple Test for Heteroscedasticity and Random Coefficient Variation
From MaRDI portal
Publication:90685
DOI10.2307/1911963zbMath0416.62021WikidataQ57568083 ScholiaQ57568083MaRDI QIDQ90685
Trevor S. Breusch, Adrian R. Pagan, Trevor S. Breusch, Adrian R. Pagan
Publication date: September 1979
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/1911963
ordinary least squares; linear regression model; Lagrangian multiplier test; heteroscedastic disturbances; random coefficient specifications
62J05: Linear regression; mixed models
62F03: Parametric hypothesis testing
65C05: Monte Carlo methods
Related Items
ESTIMATION OF COEFFICIENTS OF TIME SERIES REGRESSION WITH A NONSTATIONARY ERROR PROCESS, On the corrections to information matrix tests, Locally optimal one-sided tests for multiparameter hypotheses, The Use of Multivariate Generated Regressors in the Presence of Heteroskedasticity, Testing for multivariate heteroscedasticity, The robustness of point optimal testing for rosenberg random regression coefficients, An improved lagrange multiplier test for heteroskedasticity, Testing for block effects and misspecification in regession models based on survey data*, Stochastic varying coefficients gravity model: An application in trade analysis, Assessing the Adequacy of Variance Function in Heteroscedastic Regression Models, Monotonic improved critical values for two \(\chi^{2}\) asymptotic criteria, Rao's score test with nonparametric density estimators, On improving the robustness and reliability of Rao's score test, skedastic, A study of several new and existing tests for heteroscedasticity in the general linear model, A general approach to Lagrange multiplier model diagnostics, Testing heteroscedasticity by wavelets in a nonparametric regression model, Exact tests of the stability of the Phillips curve: the Canadian case, Model specification tests. A simultaneous approach, Testing strategies for model specification, Stochastic specification and estimation of share equation systems, Testing the normality assumption in multivariate simultaneous limited dependent variable models, Testing the adequacy of smooth transition autoregressive models, Small samples and collateral information. An application of the hyperparameter model, Testing for heteroscedasticity in simultaneous equation models, A note on Studentizing a test for heteroscedasticity, Testing for skewness of regression disturbances, Rank tests for testing randomness of a regression coefficient in a linear regression model, Testing for conditional heteroskedasticity with misspecified alternative hypotheses, Marginal-likelihood score-based tests of regression disturbances in the presence of nuisance parameters, Testing parameter constancy in linear models against stochastic stationary parameters, A measure of economic efficiency using returns to scale, Robustifying Glejser test of heteroskedasticity, Glejser's test revisited, Optimal adaptive control of treatment planning in radiation therapy, A consistent test for heteroscedasticity in nonparametric regression based on the kernel method, An investigation of an unbiased correction for heteroskedasticity and the effects of misspecifying the skedastic function., Tests of specification for parametric and semiparametric models, Testing variances in wavelet regression models, Generalized autoregressive conditional heteroscedasticity, The significance of testing empirical non-nested models, Minimax estimation with random coefficients: Theory and application to stock returns, Some results on the Glejser and Koenker tests for heteroskedasticity, Misspecification tests and their uses in econometrics, Applying estimated score tests in econometrics, A new stochastically flexible event methodology with application to proposition 103, Operational research techniques in medical treatment and diagnosis: A review, On the application of robust, regression-based diagnostics to models of conditional means and conditional variances, A statistical measure of a population's propensity to engage in post-purchase online word-of-mouth, Dynamic nonlinear modelization of operational supply chain systems, Testing heteroscedasticity in partially linear regression models, Joint modelling of location and scale parameters of the t distribution, Measuring the degree of severity of heteroskedasticity and the choice between the ols estimator and the 2sae, Generalized LM tests for functional form and heteroscedasticity, Testing for heteroscedasticity occuring at unknown points, The power and robustness properties of tests for heteroskedasticity when the regressors are trended, Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances, The robustness, reliabiligy and power of heteroskedasticity tests, Bootstrap methods for heteroskedastic regression models: evidence on estimation and testing
