Testing for Heteroscedasticity in a Dynamic Simultaneous Equation Model

Author

Yiu Kuen TSE, Singapore Management UniversityFollow
C.T. Phoon

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