Testing for Linear and Log-Linear Regressions with Heteroscedasticity
Publication Type
Journal Article
Publication Date
1984
Abstract
This paper considers the problem of jointly testing for linear and log-linear regressions with heteroscedasticity. Lagrange multiplier tests are suggested; which do not require the heteroscedastic structures to be specified and are computationally easier than likelihood ratio tests.
Discipline
Econometrics
Research Areas
Econometrics
Publication
Economics Letters
Volume
16
Issue
1-2
First Page
63
Last Page
69
ISSN
0165-1765
Identifier
10.1016/0165-1765(84)90143-5
Publisher
Elsevier
Citation
TSE, Yiu Kuen.
Testing for Linear and Log-Linear Regressions with Heteroscedasticity. (1984). Economics Letters. 16, (1-2), 63-69.
Available at: https://ink.library.smu.edu.sg/soe_research/172
Additional URL
https://doi.org/10.1016/0165-1765(84)90143-5