Corrected modified profile likelihood heteroskedasticity tests
AbstractThis paper considers the issue of testing for the constancy of variances in linear regression models. We obtain a Bartlett correction to the modified profile likelihood ratio test proposed by Simonoff and Tsai (Appl. Statist. 43 (1994) 357) who have used the approach proposed by Cox and Reid (J. R. Statist. Soc. B 49 (1987) 1). Our numerical results show that the corrected test we propose outperform the original likelihood ratio test, the Bartlett-corrected likelihood ratio test, and the modified profile likelihood ratio test in small samples. The proposed test displays good finite sample behaviour at very low significance levels.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 57 (2002)
Issue (Month): 4 (May)
Contact details of provider:
Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Cysneiros, Audrey H.M.A. & Ferrari, Silvia L.P., 2006. "An improved likelihood ratio test for varying dispersion in exponential family nonlinear models," Statistics & Probability Letters, Elsevier, vol. 76(3), pages 255-265, February.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If references are entirely missing, you can add them using this form.