Yang, Zhenlin; Tse, Yiu-Kuen - In: Econometrics Journal 11 (2008) 2, pp. 349-376
We present a generalized LM test of heteroscedasticity allowing the presence of data transformation and a generalized LM test of functional form allowing the presence of heteroscedasticity. Both generalizations are meaningful as non-normality and heteroscedasticity are common in economic data. A...