Heteroskedasticity testing through a comparison of Wald statistics

This paper shows that a test for heteroskedasticity within the context of classical linear regression can be based on the difference between Wald statistics in heteroskedasticity-robust and nonrobust forms. The test is asymptotically distributed under the null hypothesis of homoskedasticity as chi-s...

Full description

Bibliographic Details
Main Author: Murteira, José M.R. (author)
Other Authors: Ramalho, Esmeralda A. (author), Ramalho, Joaquim J.S. (author)
Format: article
Language:eng
Published: 2018
Subjects:
Heteroskedasticity testing
White test
Wald test
Supremum
Online Access:http://hdl.handle.net/10400.5/15703
Country:Portugal
Oai:oai:www.repository.utl.pt:10400.5/15703

Internet

http://hdl.handle.net/10400.5/15703

Similar Items