homoskedasticity against the alternative of heteroskedasticity in both error components. It contrasts this joint LM test with marginal … LM tests that ignore the heteroskedasticity in one of the error components. Monte Carlo results show that misleading … inference can occur when using marginal rather than joint tests when heteroskedasticity is present in both components. …

conditional and unconditional heteroskedasticity of unknown form. Although the standard conditional sum-of-squares (CSS) estimator … remains consistent and asymptotically normal in such cases, unconditional heteroskedasticity inflates its variance matrix by a … conditional heteroskedasticity and/or weak parametric autocorrelation present in the shocks. Consequently, asymptotically pivotal …

This paper constructs tests for heteroskedasticity in one-way error components models, in line with Baltagi, Bresson … tests for heteroskedasticity in the individual component are shown to be negatively affected by heteroskedasticity in the … remainder component. We derive modified tests that are insensitive to heteroskedasticity in the component not being checked, and …

This paper constructs tests for heteroskedasticity in one-way error components models, in line with Baltagi, Bresson … tests for heteroskedasticity in the individual component are shown to be negatively affected by heteroskedasticity in the … remainder component. We derive modified tests that are insensitive to heteroskedasticity in the component not being checked, and …