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Testing for conditional heteroskedasticity with misspecified alternative hypotheses

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  • Dastoor, Naorayex K.

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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 82 (1997)
Issue (Month): 1 ()
Pages: 63-80

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Handle: RePEc:eee:econom:v:82:y:1997:i:1:p:63-80

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Web page: http://www.elsevier.com/locate/jeconom

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  1. Wooldridge, Jeffrey M., 1990. "A Unified Approach to Robust, Regression-Based Specification Tests," Econometric Theory, Cambridge University Press, vol. 6(01), pages 17-43, March.
  2. White, Halbert, 1980. "Nonlinear Regression on Cross-Section Data," Econometrica, Econometric Society, Econometric Society, vol. 48(3), pages 721-46, April.
  3. Whang, Yoon-Jae & Andrews, Donald W. K., 1993. "Tests of specification for parametric and semiparametric models," Journal of Econometrics, Elsevier, Elsevier, vol. 57(1-3), pages 277-318.
  4. Russell Davidson & James G. MacKinnon, 1984. "Implicit Alternatives and the Local Power of Test Statistics," Working Papers, Queen's University, Department of Economics 556, Queen's University, Department of Economics.
  5. Bera, Anil K. & Yoon, Mann J., 1993. "Specification Testing with Locally Misspecified Alternatives," Econometric Theory, Cambridge University Press, vol. 9(04), pages 649-658, August.
  6. Saikkonen, Pentti, 1989. "Asymptotic relative efficiency of the classical test statistics under misspecification," Journal of Econometrics, Elsevier, Elsevier, vol. 42(3), pages 351-369, November.
  7. Amemiya, Takeshi, 1977. "A note on a heteroscedastic model," Journal of Econometrics, Elsevier, Elsevier, vol. 6(3), pages 365-370, November.
  8. Waldman, Donald M., 1983. "A note on algebraic equivalence of White's test and a variation of the Godfrey/Breusch-Pagan test for heteroscedasticity," Economics Letters, Elsevier, vol. 13(2-3), pages 197-200.
  9. Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, Oxford University Press, number 9780195060119, October.
  10. Jeffrey M. Wooldridge, 1987. "Specification Testing and Quasi-Maximum Likelihood Estimation," Working papers 479, Massachusetts Institute of Technology (MIT), Department of Economics.
  11. Hsieh, David A., 1983. "A heteroscedasticity-consistent covariance matrix estimator for time series regressions," Journal of Econometrics, Elsevier, Elsevier, vol. 22(3), pages 281-290, August.
  12. DAVIDSON, Russel & MACKINNON, James G., . "Heteroskedastcity-robust tests in regressions directions," CORE Discussion Papers RP -678, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  13. Breusch, T S & Pagan, A R, 1979. "A Simple Test for Heteroscedasticity and Random Coefficient Variation," Econometrica, Econometric Society, Econometric Society, vol. 47(5), pages 1287-94, September.
  14. Wooldridge, Jeffrey M., 1991. "On the application of robust, regression- based diagnostics to models of conditional means and conditional variances," Journal of Econometrics, Elsevier, Elsevier, vol. 47(1), pages 5-46, January.
  15. Godfrey, Leslie G., 1978. "Testing for multiplicative heteroskedasticity," Journal of Econometrics, Elsevier, Elsevier, vol. 8(2), pages 227-236, October.
  16. Godfrey, Leslie G., 1996. "Some results on the Glejser and Koenker tests for heteroskedasticity," Journal of Econometrics, Elsevier, Elsevier, vol. 72(1-2), pages 275-299.
  17. Tauchen, George, 1985. "Diagnostic testing and evaluation of maximum likelihood models," Journal of Econometrics, Elsevier, Elsevier, vol. 30(1-2), pages 415-443.
  18. Russell W. Davidson & James G. MacKinnon, 1985. "The Interpretation of Test Statistics," Canadian Journal of Economics, Canadian Economics Association, vol. 18(1), pages 38-57, February.
  19. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, Econometric Society, vol. 48(4), pages 817-38, May.
  20. White, Halbert & Domowitz, Ian, 1984. "Nonlinear Regression with Dependent Observations," Econometrica, Econometric Society, Econometric Society, vol. 52(1), pages 143-61, January.
  21. Newey, Whitney K, 1985. "Maximum Likelihood Specification Testing and Conditional Moment Tests," Econometrica, Econometric Society, Econometric Society, vol. 53(5), pages 1047-70, September.
  22. Koenker, Roger, 1981. "A note on studentizing a test for heteroscedasticity," Journal of Econometrics, Elsevier, Elsevier, vol. 17(1), pages 107-112, September.
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Cited by:
  1. Montes-Rojas, Gabriel & Sosa-Escudero, Walter, 2011. "Robust tests for heteroskedasticity in the one-way error components model," Journal of Econometrics, Elsevier, Elsevier, vol. 160(2), pages 300-310, February.

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