The robustness, reliabiligy and power of heteroskedasticity tests

DOI10.1080/07474939908800438zbMath0932.62074OpenAlexW2168185203MaRDI QIDQ4246596

Leslie G. Godfrey, Chris D. Orme

Publication date: 14 March 2000

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474939908800438

zbMATH Keywords

bootstraprobustnessheteroskedasticitynonnormality

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Parametric hypothesis testing (62F03) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items (4)

Controlling the finite sample significance levels of heteroskedasticity-robust tests of several linear restrictions on regression coefficients ⋮ Rejection rates of bootstrapped and exact heteroskedasticity tests in response to skedastic function and normal or skewed disturbances ⋮ Tests for regression models with heteroskedasticity of unknown form ⋮ Glejser's test revisited

Cites Work

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• Tests of non-nested regression models: Some results on small sample behaviour and the bootstrap
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• Some results on the Glejser and Koenker tests for heteroskedasticity
• Testing hypotheses with estimated scores
• An asymptotic expansion for the null distribution of the efficient score statistic
• Robust Tests for Heteroscedasticity Based on Regression Quantiles
• On the corrections to information matrix tests
• On bartlett and bartlett-type corrections francisco cribari-neto

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