Testing for Linear and Log-Linear Regressions with Heteroscedasticity

Author

Yiu Kuen TSE, Singapore Management UniversityFollow

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