A study of several new and existing tests for heteroscedasticity in the general linear model

DOI10.1016/0304-4076(84)90026-5zbMath0555.62041OpenAlexW2065708732MaRDI QIDQ760733

Mukhtar M. Ali, Carmelo Giaccotto

Publication date: 1984

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

Full work available at URL: https://doi.org/10.1016/0304-4076(84)90026-5

zbMATH Keywords

robustnesspowerordinary least squaresgeneral linear modeltests for heteroscedasticitycomparison of testsOLS residual estimates

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Linear regression; mixed models (62J05)

Related Items (9)

Some results on the Glejser and Koenker tests for heteroskedasticity ⋮ Monte Carlo power comparison of seven most commonly used heteroscedasticity tests ⋮ The power and robustness properties of tests for heteroskedasticity when the regressors are trended ⋮ Rejection rates of bootstrapped and exact heteroskedasticity tests in response to skedastic function and normal or skewed disturbances ⋮ Generalized LM tests for functional form and heteroscedasticity ⋮ Rank tests in heteroscedastic linear model with nuisance parameters ⋮ Simulation-based finite-sample tests for heteroskedasticity and ARCH effects ⋮ Robustifying Glejser test of heteroskedasticity ⋮ Heteroscedasticity testing after outlier removal

Cites Work

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• Using residuals robustly I: Tests for heteroscedasticity, nonlinearity
• A comparison of the power of some tests for heteroskedasticity in the general linear model
• Estimating Regression Models with Multiplicative Heteroscedasticity
• A Class of Parametric Tests for Heteroscedasticity in Linear Econometric Models
• Independent Stepwise Residuals for Testing Homoscedasticity

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