Testing for heteroscedasticity in a dynamic simultaneous equation model

DOI10.1080/03610928508828976MaRDI QIDQ3692646zbMATH OpenOpenAlexFDO

Authors

Publication date 1985

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610928508828976

zbMATH Keywords

dynamic simultaneous equation modelerror variancesheteroscedasticitynormal and non- normal errorsStudentized Lagrange multiplier test

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Linear regression; mixed models (62J05) Applications of statistics to economics (62P20) Monte Carlo methods (65C05)

Recommendations

• Testing for linear and log-linear regressions with heteroscedasticity
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Cited in

(8)

• scientific article; zbMATH DE number 5846391 (Why is no real title available?)
• Heteroscedasticity in Models with Lagged Dependent Variables
• Misspecification and estimation effect in the Lagrange multiplier tests for heteroskedasticity
• Testing for linear and log-linear regressions with heteroscedasticity
• scientific article; zbMATH DE number 168059 (Why is no real title available?)
• scientific article; zbMATH DE number 1833977 (Why is no real title available?)
• Testing identification via heteroskedasticity in structural vector autoregressive models
• On using durbin's h-test to validate the partial-adjustment model

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