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
Citation
TSE, Yiu Kuen and Phoon, C.T..
Testing for Heteroscedasticity in a Dynamic Simultaneous Equation Model. (1985). Communications in Statistics: Theory and Methods. 14, (6), 1283-1300.
Available at: https://ink.library.smu.edu.sg/soe_research/306
Additional URL
https://doi.org/10.1080/03610928508828976
