Simulation‐based tests for heteroskedasticity in linear regression models: Some further results

DOI10.1111/j.1368-423X.2006.00177.xzbMath1088.62082MaRDI QIDQ5469920

J. M. C. Santos Silva, Chris D. Orme, Leslie G. Godfrey

Publication date: 26 May 2006

Published in: The Econometrics Journal (Search for Journal in Brave)

zbMATH Keywords

bootstrapdistributional assumptionsexact testsMonte Carlo testsKoenker's statistic

Mathematics Subject Classification ID

Nonparametric robustness (62G35) Linear regression; mixed models (62J05) Nonparametric statistical resampling methods (62G09) Monte Carlo methods (65C05)

Related Items (4)

A Heteroskedasticity-RobustF-Test Statistic for Individual Effects ⋮ Generalized LM tests for functional form and heteroscedasticity ⋮ New tests of heteroskedasticity in linear regression model ⋮ Robust Lagrange multiplier test for detecting ARCH/GARCH effect using permutation and bootstrap

Uses Software

• bootlib

Cites Work

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• Simulation-based finite-sample tests for heteroskedasticity and ARCH effects
• A note on Studentizing a test for heteroscedasticity
• Should stochastic or non-stochastic exogenous variables be used in Monte Carlo experiments?
• Robustifying Glejser test of heteroskedasticity
• Glejser's test revisited
• Exact tests for contemporaneous correlation of disturbances in seemingly unrelated regressions.
• Some results on the Glejser and Koenker tests for heteroskedasticity

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