This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Tests of Functional Form and Heteroscedasticity

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Y. K. Tse
Z. L. Yang

Additional information is available for the following registered author(s):

Abstract

This paper considers tests of misspecification in a heteroscedastic transformation model. We derive Lagrange multiplier (LM) statistics for (i) testing functional form and heteroscedasticity jointly, (ii) testing functional form in the presence of heteroscedasticity, and (iii) testing heteroscedasticity in the presence of data transformation. We present LM statistics based on the expected information matrix. For cases (i) and (ii), this is done assuming the Box-Cox transformation. For case (iii), the test does not depend on whether the functional form is estimated or pre-specified. Small-sample properties of the tests are assessed by Monte Carlo simulation, and comparisons are made with the likelihood ratio test and other versions of LM test. The results show that the expected-information based LM test has the most appropriate finite-sample empirical size

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. 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.

File URL: http://repec.org/esFEAM04/up.25512.1073897382.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by Econometric Society in its series Econometric Society 2004 Far Eastern Meetings with number 424.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length:
Date of creation: 11 Aug 2004
Date of revision:
Handle: RePEc:ecm:feam04:424

Contact details of provider:
Phone: 1 212 998 3820
Fax: 1 212 995 4487
Email:
Web page: http://www.econometricsociety.org/pastmeetings.asp
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).

Related research
Keywords: Functional Form; Heterscedasticity; Lagrange Multiplier Test;

Other versions of this item:

Find related papers by JEL classification:
C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General
C5 - Mathematical and Quantitative Methods - - Econometric Modeling

This paper has been announced in the following NEP Reports:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. MacKinnon, James G & Magee, Lonnie, 1990. "Transforming the Dependent Variable in Regression Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 31(2), pages 315-39, May. [Downloadable!] (restricted)
  2. Evans, Merran A. & King, Maxwell L., 1988. "A further class of tests for heteroscedasticity," Journal of Econometrics, Elsevier, vol. 37(2), pages 265-276, February. [Downloadable!] (restricted)
  3. Harvey, A C, 1976. "Estimating Regression Models with Multiplicative Heteroscedasticity," Econometrica, Econometric Society, vol. 44(3), pages 461-65, May. [Downloadable!] (restricted)
  4. Baltagi, Badi H. & Li, Dong, 2000. "Double-length regressions for the Box-Cox difference model with heteroskedasticity or autocorrelation," Economics Letters, Elsevier, vol. 69(1), pages 9-14, October. [Downloadable!] (restricted)
  5. Ali, Mukhtar M. & Giaccotto, Carmelo, 1984. "A study of several new and existing tests for heteroscedasticity in the general linear model," Journal of Econometrics, Elsevier, vol. 26(3), pages 355-373, December. [Downloadable!] (restricted)
  6. Godfrey, Leslie G & McAleer, Michael & McKenzie, Colin R, 1988. "Variable Addition and LaGrange Multiplier Tests for Linear and Logarithmic Regression Models," The Review of Economics and Statistics, MIT Press, vol. 70(3), pages 492-503, August. [Downloadable!] (restricted)
  7. Wallentin, Bo & Agren, Anders, 2002. "Test of heteroscedasticity in a regression model in the presence of measurement errors," Economics Letters, Elsevier, vol. 76(2), pages 205-211, July. [Downloadable!] (restricted)
  8. Russell Davidson & James G. MacKinnon, 1985. "Testing Linear and Loglinear Regressions against Box-Cox Alternatives," Canadian Journal of Economics, Canadian Economics Association, vol. 18(3), pages 499-517, August. [Downloadable!] (restricted)
  9. Griffiths, W. E. & Surekha, K., 1986. "A Monte Carlo evaluation of the power of some tests for heteroscedasticity," Journal of Econometrics, Elsevier, vol. 31(2), pages 219-231, March. [Downloadable!] (restricted)
  10. Davidson, Russell & MacKinnon, James G, 1984. "Model Specification Tests Based on Artificial Linear Regressions," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(2), pages 485-502, June. [Downloadable!] (restricted)
    Other versions:
  11. Kalirajan, K. P., 1989. "A test for heteroscedasticity and non-normality of regression residuals : A practical approach," Economics Letters, Elsevier, vol. 30(2), pages 133-136, August. [Downloadable!] (restricted)
  12. Layson, Stephen K & Seaks, Terry G, 1984. "Estimation and Testing for Functional Form in First Difference Models," The Review of Economics and Statistics, MIT Press, vol. 66(2), pages 338-43, May. [Downloadable!] (restricted)
  13. Amemiya, Takeshi, 1977. "A note on a heteroscedastic model," Journal of Econometrics, Elsevier, vol. 6(3), pages 365-370, November. [Downloadable!] (restricted)
  14. Baltagi, Badi H., 1997. "Testing linear and loglinear error components regressions against Box-Cox alternatives," Statistics & Probability Letters, Elsevier, vol. 33(1), pages 63-68, April. [Downloadable!] (restricted)
  15. Farebrother, R. W., 1987. "The statistical foundations of a class of parametric tests for heteroscedasticity," Journal of Econometrics, Elsevier, vol. 36(3), pages 359-368, November. [Downloadable!] (restricted)
  16. Seaks, Terry G & Layson, Stephen K, 1983. "Box-Cox Estimation with Standard Econometric Problems," The Review of Economics and Statistics, MIT Press, vol. 65(1), pages 160-64, February. [Downloadable!] (restricted)
  17. Yang, Zhenlin, 2006. "A modified family of power transformations," Economics Letters, Elsevier, vol. 92(1), pages 14-19, July. [Downloadable!] (restricted)
  18. Davidson, Russel & MacKinnon, James G., 1983. "Small sample properties of alternative forms of the Lagrange Multiplier test," Economics Letters, Elsevier, vol. 12(3-4), pages 269-275. [Downloadable!] (restricted)
    Other versions:
  19. Koenker, Roger, 1981. "A note on studentizing a test for heteroscedasticity," Journal of Econometrics, Elsevier, vol. 17(1), pages 107-112, September. [Downloadable!] (restricted)
  20. Yang, Zhenlin & Abeysinghe, Tilak, 2003. "A score test for Box-Cox functional form," Economics Letters, Elsevier, vol. 79(1), pages 107-115, April. [Downloadable!] (restricted)
  21. Breusch, T S & Pagan, A R, 1979. "A Simple Test for Heteroscedasticity and Random Coefficient Variation," Econometrica, Econometric Society, vol. 47(5), pages 1287-94, September. [Downloadable!] (restricted)
  22. Lahiri, Kajal & Egy, Daniel, 1981. "Joint estimation and testing for functional form and heteroskedasticity," Journal of Econometrics, Elsevier, vol. 15(2), pages 299-307, February. [Downloadable!] (restricted)
Full references

Statistics
Access and download statistics

Did you know? You too can volunteer for RePEc, for example by editing a NEP report.

This page was last updated on 2009-11-25.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.