Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects.

In this paper we describe a solution to the problem of controlling the size of homoskedasticity tests in linear regression contexts.

Year of publication:	2001
Authors:	Dufour, J.M. ; Khalaf, L. ; Bernard, J.T. ; Genest, I.
Institutions:	Centre Interuniversitaire de Recherche en Économie Quantitative (CIREQ)
Subject:	REGRESSION ANALYSIS \| ECONOMIC MODELS \| TESTS

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Series:	Cahiers de recherche.
Type of publication:	Book / Working Paper
Notes:	42 pages
Classification:	C12 - Hypothesis Testing ; C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005346015