Testing for multiplicative heteroskedasticity

DOI10.1016/0304-4076(78)90031-3MaRDI QIDQ1255290zbMATH OpenOpenAlexFDO

Authors L. G. Godfrey

Publication date 1978

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

Full work available at URL https://doi.org/10.1016/0304-4076(78)90031-3

zbMATH Keywords

Large Sample TestMonte Carlo ExperimentsMultiplicative HeteroskedasticityRegression ModelSample Bahaviour

Mathematics Subject Classification ID

Linear inference, regression (62J99) Applications of statistics to economics (62P20)

Cites work

• A comparison of the power of some tests for heteroskedasticity in the general linear model
• Computing the distribution of quadratic forms in normal variables
• Estimating Regression Models with Multiplicative Heteroscedasticity
• scientific article; zbMATH DE number 3366405 (Why is no real title available?)
• The Lagrangian Multiplier Test

Cited in

(29)

• Model specification tests. A simultaneous approach
• Testing for heteroscedasticity in simultaneous equation models
• Testing for conditional heteroskedasticity with misspecified alternative hypotheses
• Marginal-likelihood score-based tests of regression disturbances in the presence of nuisance parameters
• A statistical assessment of Buchanan's vote in Palm Beach county
• Some results on the Glejser and Koenker tests for heteroskedasticity
• Applying estimated score tests in econometrics
• On the application of robust, regression-based diagnostics to models of conditional means and conditional variances
• Testing for the sandwich-form covariance matrix of the quasi-maximum likelihood estimator
• Small sample properties of the two-step and three-step estimators in a heteroscedastic linear regression model and the Bayesian alternative
• A note on algebraic equivalence of White's test and a variation of the Godfrey/Breusch-Pagan test for heteroscedasticity
• Testing the equality of the variances of two linear models
• 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
• On the corrections to information matrix tests
• An improved lagrange multiplier test for heteroskedasticity
• A nonparametric goodness-of-fit-based test for conditional heteroskedasticity
• Monte Carlo power comparison of seven most commonly used heteroscedasticity tests
• A new test to detect monotonic and non-monotonic types of heteroscedasticity
• Testing heteroscedasticity in nonlinear and nonparametric regressions
• RCEV heteroscedasticity test based on the studentized residuals
• Calibration of Inexact Computer Models with Heteroscedastic Errors
• Testing for an Omitted Multiplicative Long-Term Component in GARCH Models
• The kth power expectile estimation and testing
• A general approach to Lagrange multiplier model diagnostics
• A nonparametric measure of heteroskedasticity
• Simulation-based finite-sample tests for heteroskedasticity and ARCH effects

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