Misspecification and estimation effect in the Lagrange multiplier tests for heteroskedasticity

DOI10.1080/10629360601052374zbMath1136.62056OpenAlexW1971763417MaRDI QIDQ3497819

Marilena Furno

Publication date: 28 May 2008

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10629360601052374

zbMATH Keywords

median regressionconditional and unconditional heteroskedasticity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Parametric hypothesis testing (62F03) Hypothesis testing in multivariate analysis (62H15)

Cites Work

• A note on Studentizing a test for heteroscedasticity
• Robustifying Glejser test of heteroskedasticity
• Glejser's test revisited
• Testing for ARCH in the presence of a possibly misspecified conditional mean
• Some results on the Glejser and Koenker tests for heteroskedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Regression Quantiles
• Residual‐based diagnostics for conditional heteroscedasticity models

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