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Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects.
Dufour, J.M.; Khalaf, L.; Bernard, J.T.; Genest, I. - Centre Interuniversitaire de Recherche en Économie … - 2001
In this paper we describe a solution to the problem of controlling the size of homoskedasticity tests in linear regression contexts.
Persistent link: https://www.econbiz.de/10005346015