Comparing the Wald, LR and LM tests for heteroscedasticity in a linear regression model

DOI10.1016/0165-1765(88)90048-1zbMath1328.62109OpenAlexW1986065206MaRDI QIDQ900058

Koichi Maekawa

Publication date: 1 January 2016

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(88)90048-1

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Asymptotic properties of parametric tests (62F05)

Related Items (2)

Generalized LM tests for functional form and heteroscedasticity ⋮ Simulation-based finite-sample tests for heteroskedasticity and ARCH effects

Cites Work

• A Simple Test for Heteroscedasticity and Random Coefficient Variation
• The local power of the efficient scores test statistic
• The likelihood ratio criterion for a composite hypothesis under a local alternative

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