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Approximate power of score test for variance heterogeneity under local alternatives in nonlinear models

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  • Lin, Jin-Guan
  • Wei, Bo-cheng

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  • Lin, Jin-Guan & Wei, Bo-cheng, 2006. "Approximate power of score test for variance heterogeneity under local alternatives in nonlinear models," Computational Statistics & Data Analysis, Elsevier, vol. 50(11), pages 3179-3198, July.
    • Handle: RePEc:eee:csdana:v:50:y:2006:i:11:p:3179-3198
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    References listed on IDEAS

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    1. Chi, Eric M. & Reinsel, Gregory C., 1991. "Asymptotic properties of the score test for autocorrelation in a random effects with AR(1) errors model," Statistics & Probability Letters, Elsevier, vol. 11(5), pages 453-457, May.
    2. Epps, Thomas W & Epps, Mary Lee, 1977. "The Robustness of Some Standard Tests for Autocorrelation and Heteroskedasticity When Both Problems Are Present," Econometrica, Econometric Society, vol. 45(3), pages 745-753, April.
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    Cited by:

    1. Hrdlicková, Zuzana, 2008. "Approximation of powers of some tests in one-way MANOVA type multivariate generalized linear model," Computational Statistics & Data Analysis, Elsevier, vol. 52(8), pages 4059-4075, April.
    2. Jin-Guan Lin & Li-Xing Zhu & Chun-Zheng Cao & Yong Li, 2011. "Tests of heteroscedasticity and correlation in multivariate t regression models with AR and ARMA errors," Journal of Applied Statistics, Taylor & Francis Journals, vol. 38(7), pages 1509-1531, August.

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