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The robustness, reliabiligy and power of heteroskedasticity tests

Godfrey, L. G.; Orme, C. D. - In: Econometric Reviews 18 (1999) 2, pp. 169-194

Several tests for heteroskedasticity in linear regression models are examined. Asymptoticrobustness to heterokurticity, nonnormality and skewness is discussed. The finite sample eliability of asymptotically valid tests is investigated using Monte Carlo experiments. It is found that asymptotic...

Persistent link: https://www.econbiz.de/10005511948

Tests of non-nested regression models some results on small sample behaviour and the bootstrap

Godfrey, L. G. - In: Journal of Econometrics 84 (1998) 1, pp. 59-74

Persistent link: https://www.econbiz.de/10005122704

Testing for skewness of regression disturbances

Godfrey, L. G.; Orme, C. D. - In: Economics Letters 37 (1991) 1, pp. 31-34

Persistent link: https://www.econbiz.de/10005158763

A note on the estimation of dynamic regression models with autoregressive errors by means of the Cochrane-Orcutt procedure

Godfrey, L. G. - In: Economics Letters 10 (1982) 1-2, pp. 81-85

Persistent link: https://www.econbiz.de/10005287943

Alternative approaches to testing by variable addition

Godfrey, L. G.; Veal, M. R. - In: Econometric Reviews 19 (2000) 2, pp. 241-261

Persistent link: https://www.econbiz.de/10005292304

Some results on the finite sample significance levels of instrumental variable tests for non-nested models

Burke, S. P.; Godfrey, L. G. - In: Economics Letters 31 (1989) 4, pp. 343-347

Persistent link: https://www.econbiz.de/10005307259

Discriminating between errors-in- variables/simultaneity and misspecification in linear regression models

Godfrey, L. G.; Hutton, J. P. - In: Economics Letters 44 (1994) 4, pp. 359-364

Persistent link: https://www.econbiz.de/10005269978

A Further Note on the Treatment of Serial Correlation.

Godfrey, L. G. - In: Canadian Journal of Economics 7 (1974) 4, pp. 673-76

Persistent link: https://www.econbiz.de/10005272017

Bootstrap Tests of Nonnested Hypotheses: Some Further Results

Godfrey, L. G.; Silva, J. M. C. Santos - In: Econometric Reviews 23 (2005) 4, pp. 325-340

Nonnested models are sometimes tested using a simulated reference distribution for the uncentred log likelihood ratio statistic. This approach has been recommended for the specific problem of testing linear and logarithmic regression models. The general asymptotic validity of the reference...

Persistent link: https://www.econbiz.de/10009279863

Bootstrap-based critical values for tests of common factor restrictions

Godfrey, L. G.; Veall, M. R. - In: Economics Letters 59 (1998) 1, pp. 1-5

Persistent link: https://www.econbiz.de/10005362037