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...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
1985
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/306 |
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| Institution: | Singapore Management University |
| Language: | English |