Testing for Linear and Log-Linear Regressions with Heteroscedasticity

• المؤلف الرئيسي: TSE, Yiu Kuen
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 1984
• الموضوعات: Econometrics
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/soe_research/172

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.