Generalized LM Tests for Functional Form and Heteroscedasticity

• Main Authors: YANG, Zhenlin, TSE, Yiu Kuen
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2008
• Subjects: Box-Cox transformation; Double length regression; Functional form; Heteroscedasticity; LM tests; Robustness.; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/504
• Institution: Singapore Management University

We present a generalized LM test of heteroscedasticity allowing the presence of data transformation and a generalized LM test of functional form allowing the presence of heteroscedasticity. Both generalizations are meaningful as non-normality and heteroscedasticity are common in economic data. A joi...