Title

Testing for Heteroscedasticity in a Dynamic Simultaneous Equation Model

Publication Type

Journal Article

Publication Date

1985

Abstract

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 investigated using a Monte Carlo experiment.

Discipline

Economics

Research Areas

Econometrics

Publication

Communications in Statistics: Theory and Methods

Volume

14

Issue

6

First Page

1283

Last Page

1300

ISSN

0361-0926

Identifier

10.1080/03610928508828976

Publisher

Taylor and Francis

Additional URL

http://dx.doi.org/10.1080/03610928508828976

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