An improved lagrange multiplier test for heteroskedasticity
From MaRDI portal
Publication:4861309
DOI10.1080/03610919508813228zbMath0850.62417OpenAlexW2042729795WikidataQ57496603 ScholiaQ57496603MaRDI QIDQ4861309
Silvia L. P. Ferrari, Francisco Cribari-Neto
Publication date: 14 January 1996
Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610919508813228
Related Items (8)
Improved score tests for one-parameter exponential family models ⋮ Corrected score tests for exponential censored data ⋮ On the corrections to information matrix tests ⋮ On bartlett and bartlett-type corrections francisco cribari-neto ⋮ Generalized bartlett correction ⋮ Monotonic improved critical values for two \(\chi^{2}\) asymptotic criteria ⋮ On improving the robustness and reliability of Rao's score test ⋮ Bootstrap methods for heteroskedastic regression models: evidence on estimation and testing
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- A Simple Test for Heteroscedasticity and Random Coefficient Variation
- A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
- A note on algebraic equivalence of White's test and a variation of the Godfrey/Breusch-Pagan test for heteroscedasticity
- A Bartlett adjustment to the likelihood ratio test for homoskedasticity in the linear model
- A note on Studentizing a test for heteroscedasticity
- Testing for multiplicative heteroskedasticity
- Approximations to noncentral distributions
- Bartlett corrections and bias correction for two heteroscedastic regression models
- An asymptotic expansion for the null distribution of the efficient score statistic
- Estimating Regression Models with Multiplicative Heteroscedasticity
- THE DISTRIBUTION OF THE VARIANCE RATIO IN RANDOM SAMPLES OF ANY SIZE DRAWN FROM NON-NORMAL UNIVERSES
This page was built for publication: An improved lagrange multiplier test for heteroskedasticity