Testing for multivariate heteroscedasticity

DOI10.1080/00949650410001646979zbMath1053.62070OpenAlexW2020999210WikidataQ56385196 ScholiaQ56385196MaRDI QIDQ4832415

H. E. T. Holgersson, Ghazi Shukur

Publication date: 4 January 2005

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

Full work available at URL: http://hdl.handle.net/2077/24416

zbMATH Keywords

bootstrapheteroscedasticity

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05) Hypothesis testing in multivariate analysis (62H15)

Related Items (1)

Testing for Panel Unit Roots under General Cross-sectional Dependence

Cites Work

• A Simple Test for Heteroscedasticity and Random Coefficient Variation
• An extension of a standard test for heteroskedasticity to a systems framework
• Bootstrapping regression models
• Using residuals robustly I: Tests for heteroscedasticity, nonlinearity
• Should stochastic or non-stochastic exogenous variables be used in Monte Carlo experiments?
• Robust Tests for Heteroscedasticity Based on Regression Quantiles
• Testing autocorrelation in a system perspective testing autocorrelation
• Linear Statistical Inference and its Applications

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