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Corrected modified profile likelihood heteroskedasticity tests

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  • Ferrari, Silvia L. P.
  • Cribari-Neto, Francisco
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    Abstract

    This 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.

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    Bibliographic Info

    Article provided by Elsevier in its journal Statistics & Probability Letters.

    Volume (Year): 57 (2002)
    Issue (Month): 4 (May)
    Pages: 353-361

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    Handle: RePEc:eee:stapro:v:57:y:2002:i:4:p:353-361

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    Related research

    Keywords: Bartlett correction Heteroskedasticity Likelihood ratio test Nuisance parameters Profile likelihood;

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    Cited by:
    1. 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.

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