A size correction to the Lagrange multiplier test for heteroskedasticity
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Econometrics.
Volume (Year): 38 (1988)
Issue (Month): 3 (July)
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Web page: http://www.elsevier.com/locate/jeconom
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- Dufour, Jean-Marie & Khalaf, Lynda & Bernard, Jean-Thomas & Genest, Ian, 2004.
"Simulation-based finite-sample tests for heteroskedasticity and ARCH effects,"
Journal of Econometrics,
Elsevier, vol. 122(2), pages 317-347, October.
- Dufour, J.M. & Khalaf, L. & Bernard, J.T. & Genest, I., 2001. "Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects," Cahiers de recherche 2001-08, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Jean-Thomas Bernard & Jean-Marie Dufour & Ian Genest & Lynda Khalaf, 2001. "Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects," CIRANO Working Papers 2001s-25, CIRANO.
- DUFOUR, Jean-Marie & KHALAF, Lynda & BERNARD, Jean-Thomas, 2001. "Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects," Cahiers de recherche 2001-08, Universite de Montreal, Departement de sciences economiques.
- Francisco Cribari-Neto, 1996. "On the Corrections to Information Matrix Tests," Econometrics 9601001, EconWPA.
- Rahman, Shahidur & King, Maxwell L., 1997. "Marginal-likelihood score-based tests of regression disturbances in the presence of nuisance parameters," Journal of Econometrics, Elsevier, vol. 82(1), pages 81-106.
- Barbone, Luca & Marchetti, Jr., Domenico & Paternostro, Stefano, 1996. "Structural adjustment, ownership transformation, and size in Polish industry," Policy Research Working Paper Series 1624, The World Bank.
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