A Heteroskedasticity-RobustF-Test Statistic for Individual Effects

DOI10.1080/07474938.2013.824792zbMath1491.62250OpenAlexW2076283986MaRDI QIDQ5080456

Takashi Yamagata, Chris D. Orme

Publication date: 31 May 2022

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

Full work available at URL: https://doi.org/10.1080/07474938.2013.824792

zbMATH Keywords

bootstraprandom effectsnon-normalityheteroskedasticity\(F\)-test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05) Nonparametric statistical resampling methods (62G09)

Cites Work

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• The asymptotic distribution of the F‐test statistic for individual effects
• Testing the Error Components Model with Non-Normal Disturbances
• The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
• FOURTH MOMENT STRUCTURE OF THE GARCH(p,q) PROCESS
• Test of Random Subject Effects In Heteroskedastic Linear Models
• Simulation‐based tests for heteroskedasticity in linear regression models: Some further results
• The $\chi^2$ Test of Goodness of Fit

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