Tests of Functional Form and Heteroscedasticity
This paper considers tests of misspecification in a heteroscedastic transformation model. We derive Lagrange multiplier (LM) statistics for (i) testing functional form and heteroscedasticity jointly, (ii) testing functional form in the presence of heteroscedasticity, and (iii) testing heteroscedasti...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2003
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/775 https://ink.library.smu.edu.sg/context/soe_research/article/1774/viewcontent/LMTest.pdf |
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| Institution: | Singapore Management University |
| Language: | English |