Testing for Heteroscedasticity in a Dynamic Simultaneous Equation Model
This paper generalizes the Lagrange multiplier test for heteroscedasticity to a dynamic simultaneous equation model. A proof ofthe validity of the test is given. Small sample proper- ties of the Lagrange multiplier test and its 'studentized' version, under normal and non-normal errors, are...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
1985
|
| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/306 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Singapore Management University |
| Language: | English |
| id |
sg-smu-ink.soe_research-1305 |
|---|---|
| record_format |
dspace |
| spelling |
sg-smu-ink.soe_research-13052010-09-23T05:48:03Z Testing for Heteroscedasticity in a Dynamic Simultaneous Equation Model TSE, Yiu Kuen Phoon, C.T. This paper generalizes the Lagrange multiplier test for heteroscedasticity to a dynamic simultaneous equation model. A proof ofthe validity of the test is given. Small sample proper- ties of the Lagrange multiplier test and its 'studentized' version, under normal and non-normal errors, are investigated using a Monte Carlo experiment. 1985-01-01T08:00:00Z text https://ink.library.smu.edu.sg/soe_research/306 info:doi/10.1080/03610928508828976 Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University Economics |
| institution |
Singapore Management University |
| building |
SMU Libraries |
| continent |
Asia |
| country |
Singapore Singapore |
| content_provider |
SMU Libraries |
| collection |
InK@SMU |
| language |
English |
| topic |
Economics |
| spellingShingle |
Economics TSE, Yiu Kuen Phoon, C.T. Testing for Heteroscedasticity in a Dynamic Simultaneous Equation Model |
| description |
This paper generalizes the Lagrange multiplier test for heteroscedasticity to a dynamic simultaneous equation model. A proof ofthe validity of the test is given. Small sample proper- ties of the Lagrange multiplier test and its 'studentized' version, under normal and non-normal errors, are investigated using a Monte Carlo experiment. |
| format |
text |
| author |
TSE, Yiu Kuen Phoon, C.T. |
| author_facet |
TSE, Yiu Kuen Phoon, C.T. |
| author_sort |
TSE, Yiu Kuen |
| title |
Testing for Heteroscedasticity in a Dynamic Simultaneous Equation Model |
| title_short |
Testing for Heteroscedasticity in a Dynamic Simultaneous Equation Model |
| title_full |
Testing for Heteroscedasticity in a Dynamic Simultaneous Equation Model |
| title_fullStr |
Testing for Heteroscedasticity in a Dynamic Simultaneous Equation Model |
| title_full_unstemmed |
Testing for Heteroscedasticity in a Dynamic Simultaneous Equation Model |
| title_sort |
testing for heteroscedasticity in a dynamic simultaneous equation model |
| publisher |
Institutional Knowledge at Singapore Management University |
| publishDate |
1985 |
| url |
https://ink.library.smu.edu.sg/soe_research/306 |
| _version_ |
1770569106503761920 |