Robustness of size of tests of autocorrelation and heteroscedasticity to nonnormality
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Econometrics.
Volume (Year): 51 (1992)
Issue (Month): 1-2 ()
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- Godfrey, Leslie G., 1996. "Some results on the Glejser and Koenker tests for heteroskedasticity," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 275-299.
- DUFOUR, Jean-Marie & KHALAF, Lynda & BERNARD, Jean-Thomas, 2001.
"Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects,"
Cahiers de recherche
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- 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.
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- Montes-Rojas, Gabriel & Sosa-Escudero, Walter, 2011.
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- Gabriel Montes-Rojas & Walter Sosa-Escudero, 2010. "Robust tests for heteroskedasticity in the one-way error components model," Post-Print peer-00768191, HAL.
- Blanchard, P. & Matyas, L., 1994.
"Robustness of Tests for Error Component Models to Nonnormality,"
Monash Econometrics and Business Statistics Working Papers
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- Blanchard, Pierre & Matyas, Laszlo, 1996. "Robustness of tests for error components models to non-normality," Economics Letters, Elsevier, vol. 51(2), pages 161-167, May.
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