Conditional Score Tests for Heteroscedasticity in the Two-Way Error Components Model

DOI10.1080/03610926.2012.687067zbMath1310.62102OpenAlexW2073524117MaRDI QIDQ2931576

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Publication date: 26 November 2014

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

Full work available at URL: https://doi.org/10.1080/03610926.2012.687067

zbMATH Keywords

heteroskedasticityerror components modelconditional score test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Asymptotic properties of parametric tests (62F05)

Related Items (1)

Testing for heteroskedasticity and spatial correlation in a two way random effects model

Cites Work

• Unnamed Item
• Joint LM test for homoskedasticity in a one-way error component model
• Testing for heteroskedasticity and spatial correlation in a random effects panel data model
• Maximum likelihood estimation of the GLS model with unknown parameters in the disturbance covariance matrix
• The Estimation of the Variances in a Variance-Components Model

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