Robust tests for heteroskedasticity in the one-way error components model

DOI10.1016/j.jeconom.2010.09.010zbMath1441.62814OpenAlexW2000714874MaRDI QIDQ737286

Walter Sosa-Escudero, Gabriel V. Montes-Rojas

Publication date: 10 August 2016

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

Full work available at URL: http://openaccess.city.ac.uk/id/eprint/12023/10/CC%20BY-NC-ND%204.0.pdf

zbMATH Keywords

testingheteroskedasticityerror components

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear regression; mixed models (62J05) Parametric hypothesis testing (62F03) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items (9)

Testing for heteroskedasticity in two-way fixed effects panel data models ⋮ Test for the covariance matrix in time-varying coefficients panel data models with fixed effects ⋮ Tests for skewness and kurtosis in the one-way error component model ⋮ Inference about clustering and parametric assumptions in covariance matrix estimation ⋮ Testing for serial correlation in hierarchical linear models ⋮ Testing for heteroskedasticity in fixed effects models ⋮ Moment-based tests for individual and time effects in panel data models ⋮ Testing for distributional features in varying coefficient panel data models ⋮ Pricing anomaly at the first sight: same borrower in different currencies faces different credit spreads -- an explanation by means of a quanto option

Uses Software

• Stata
• xttest1

Cites Work

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• IS ADAPTIVE ESTIMATION USEFUL FOR PANEL MODELS WITH HETEROSKEDASTICITY IN THE INDIVIDUAL SPECIFIC ERROR COMPONENT? SOME MONTE CARLO EVIDENCE
• Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
• NON-NORMALITY AND TESTS ON VARIANCES
• Robust Statistics

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