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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- Montes-Rojas, Gabriel & Sosa-Escudero, Walter, 2011.
"Robust tests for heteroskedasticity in the one-way error components model,"
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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.
- Galvao, Antonio F. & Montes-Rojas, Gabriel & Sosa-Escudero, Walter & Wang, Liang, 2013. "Tests for skewness and kurtosis in the one-way error component model," Journal of Multivariate Analysis, Elsevier, vol. 122(C), pages 35-52.
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