A study of several new and existing tests for heteroscedasticity in the general linear model
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- Dufour, Jean-Marie & Khalaf, Lynda & Bernard, Jean-Thomas & Genest, Ian, 2004.
"Simulation-based finite-sample tests for heteroskedasticity and ARCH effects,"
Journal of Econometrics,
Elsevier, vol. 122(2), pages 317-347, October.
- Dufour, J.M. & Khalaf, L. & Bernard, J.T. & Genest, I., 2001. "Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects," Cahiers de recherche 2001-08, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- DUFOUR, Jean-Marie & KHALAF, Lynda & BERNARD, Jean-Thomas, 2001. "Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects," Cahiers de recherche 2001-08, Universite de Montreal, Departement de sciences economiques.
- Jean-Thomas Bernard & Jean-Marie Dufour & Ian Genest & Lynda Khalaf, 2001. "Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects," CIRANO Working Papers 2001s-25, CIRANO.
- Y. K. Tse & Z. L. Yang, 2004. "Tests of Functional Form and Heteroscedasticity," Econometric Society 2004 Far Eastern Meetings 424, Econometric Society.
- Adrian C. Darnell, 1994. "A Dictionary Of Econometrics," Books, Edward Elgar Publishing, number 118.
- Jana Jurečková & Radim Navrátil, 2014. "Rank tests in heteroscedastic linear model with nuisance parameters," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 77(3), pages 433-450, April.
- Im, Kyung So, 2000. "Robustifying Glejser test of heteroskedasticity," Journal of Econometrics, Elsevier, vol. 97(1), pages 179-188, July.
- Hall, A.D., 1992. "A study of various score test statistics for heteroscedasticity in the general linear model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 33(5), pages 563-568.
- Jørgen Lauridsen & Reinhold Kosfeld, 2007. "Spatial cointegration and heteroscedasticity," Journal of Geographical Systems, Springer, vol. 9(3), pages 253-265, September.
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