Murteira, José; Ramalho, Esmeralda; Ramalho, Joaquim - In: Portuguese Economic Journal 12 (2013) 2, pp. 131-160
This paper shows that a test for heteroskedasticity within the context of classical linear regression can be based on the difference between Wald statistics in heteroskedasticity-robust and nonrobust forms. The test is asymptotically distributed under the null hypothesis of homoskedasticity as...