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Simulation-based finite-sample tests for heteroskedasticity and ARCH effects
Dufour, Jean-Marie; Khalaf, Lynda; Bernard, Jean-Thomas; … - In: Journal of econometrics 122 (2004) 2, pp. 317-347
Persistent link: https://www.econbiz.de/10002173151
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Simulation based finite and large sample tests in multivariate regressions
Dufour, Jean-Marie; Khalaf, Lynda - In: Journal of econometrics 111 (2002) 2, pp. 303-322
Persistent link: https://www.econbiz.de/10001715751
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On the sensitivity of the usual t- and F-tests to covariance misspecification
Banerjee, Anurag Narayan; Magnus, Jan R. - In: Journal of econometrics 95 (2000) 1, pp. 157-176
Persistent link: https://www.econbiz.de/10001432559