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Heteroskedasticity testing through a comparison of Wald statistics
Murteira, José; Ramalho, Esmeralda; Ramalho, Joaquim - In: Portuguese Economic Journal 12 (2013) 2, pp. 131-160
sensitive to the choice of parametric restriction used by the Wald statistics, so the supremum of a range of individual test … statistics is proposed. Two versions of a supremum-based test are considered: the first version does not have a known asymptotic …
Persistent link: https://www.econbiz.de/10010698370
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Posterior-based Wald-type statistics for hypothesis testing
Liu, Xiaobin; Li, Yong; Yu, Jun; Zeng, Tao - In: Journal of econometrics 230 (2022) 1, pp. 83-113
Persistent link: https://www.econbiz.de/10013441919
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Heteroscedasticity testing after outlier removal
Berenguer-Rico, Vanessa; Wilms, Ines - In: Econometric reviews 40 (2021) 1, pp. 51-85
Persistent link: https://www.econbiz.de/10012483796
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A new matrix statistic for the hausman endogeneity test under heteroskedasticity
Papadopoulos, Alecos - In: Econometrics : open access journal 11 (2023) 4, pp. 1-11
We derive a new matrix statistic for the Hausman test for endogeneity in cross-sectional Instrumental Variables estimation, that incorporates heteroskedasticity in a natural way and does not use a generalized inverse. A Monte Carlo study examines the performance of the statistic for different...
Persistent link: https://www.econbiz.de/10014507912
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The robustness, reliability and power of heteroskedasticity tests
Godfrey, Les G.; Orme, Chris D. - In: Econometric reviews 18 (1999) 2, pp. 169-194
Persistent link: https://www.econbiz.de/10001371095
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Outer-product-of-gradients tests for spatial autoregressive models
Jin, Fei; Lee, Lung-fei - In: Regional science & urban economics 72 (2018), pp. 35-57
Persistent link: https://www.econbiz.de/10012108383
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On size and power of heteroskedasticity and autocorrelation robust tests
Preinerstorfer, David; Pötscher, Benedikt M. - In: Econometric theory 32 (2016) 2, pp. 261-358
Persistent link: https://www.econbiz.de/10011578481
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Fixed-smoothing asymptotics in a two-step generalized method of moments framework
Sun, Yixiao - In: Econometrica : journal of the Econometric Society, an … 82 (2014) 6, pp. 2327-2370
Persistent link: https://www.econbiz.de/10011560365
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Size distortions of the wild bootstrapped HCCME-based LM test for serial correlation in the presence of asymmetric conditional heteroskedasticity
Grobys, Klaus - In: Empirical economics : a journal of the Institute for … 48 (2015) 3, pp. 1189-1202
Persistent link: https://www.econbiz.de/10011304126
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LM tests of spatial dependence based on bootstrap critical values
Yang, Zhenlin - In: Journal of econometrics 185 (2015) 1, pp. 33-59
Persistent link: https://www.econbiz.de/10011339908