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.
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
1984
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| Online Access: | https://ink.library.smu.edu.sg/soe_research/172 |
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| Institution: | Singapore Management University |
| Language: | English |