Testing for 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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Bibliographic Details
Main Author: TSE, Yiu Kuen
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2004
Subjects:
Online Access:https://ink.library.smu.edu.sg/soe_research/836
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Institution: Singapore Management University
Language: English