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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

Simulation-based tests for heteroskedasticity in linear regression models: Some further results

Godfrey, L. G.; Orme, C. D.; Silva, J. M. C. Santos - In: Econometrics Journal 9 (2006) 1, pp. 76-97

As shown by the results of Dufour, Khalaf, Bernard and Genest (2004, Journal of Econometrics 122, 317--347), exact tests for heteroskedasticity in linear regression models can be obtained, by using Monte Carlo (MC) techniques, if either (i) it is assumed that the true form of the error...

Persistent link: https://www.econbiz.de/10005100164

The sensitivity of some general checks to omitted variables in the linear model

Godfrey, L. G. - In: International economic review 35 (1994) 2, pp. 489-506

Persistent link: https://www.econbiz.de/10001164413

On the behavior of conditional moment tests in the presence of unconsidered local alternatives

Godfrey, L. G. - In: International economic review 37 (1996) 2, pp. 263-281

Persistent link: https://www.econbiz.de/10001202125

Testing for skewness of regression disturbances

Godfrey, L. G. - In: Economics letters 37 (1991) 1, pp. 31-34

Persistent link: https://www.econbiz.de/10001110916

Controlling the significance levels of prediction error tests for linear regression models

Godfrey, L. G.; Orme, Chris D. - In: The econometrics journal 3 (2000) 1, pp. 66-83

Persistent link: https://www.econbiz.de/10001532218

Using bootstrap methods to obtain nonnormality robust Chow prediction tests

Godfrey, L. G.; Orme, Chris D. - In: Economics letters 76 (2002) 3, pp. 429-436

Persistent link: https://www.econbiz.de/10001692050

Controlling the finite sample significance levels of heteroskedasticity-robust tests of several linear restrictions on regression coefficients

Godfrey, L. G.; Orme, Chris D. - In: Economics letters 82 (2004) 2, pp. 281-287

Persistent link: https://www.econbiz.de/10001896002

Simulation-based tests for heteroskedasticity in linear regression models : some further results

Godfrey, L. G.; Orme, Chris D.; Silva, João Santos - In: The econometrics journal 9 (2006) 1, pp. 76-97

Persistent link: https://www.econbiz.de/10003320202

Misspecification tests in econometrics : the Lagrange multiplier principle and other approaches

Godfrey, L. G. - 1988

Persistent link: https://www.econbiz.de/10000763901

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