Montes-Rojas, Gabriel; Sosa-Escudero, Walter - HAL - 2010
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 …