Testing for Linear and Log-Linear Regressions with Heteroscedasticity
This paper considers the problem of jointly testing for linear and log-linear regressions with heteroscedasticity. Lagrange multiplier tests are suggested; which do not require the heteroscedastic structures to be specified and are computationally easier than likelihood ratio tests.
محفوظ في:
| المؤلف الرئيسي: | |
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| التنسيق: | text |
| اللغة: | English |
| منشور في: |
Institutional Knowledge at Singapore Management University
1984
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| الموضوعات: | |
| الوصول للمادة أونلاين: | https://ink.library.smu.edu.sg/soe_research/172 |
| الوسوم: |
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| المؤسسة: | Singapore Management University |
| اللغة: | English |
| الملخص: | This paper considers the problem of jointly testing for linear and log-linear regressions with heteroscedasticity. Lagrange multiplier tests are suggested; which do not require the heteroscedastic structures to be specified and are computationally easier than likelihood ratio tests. |
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