Godfrey, L G; Orme, C D - In: International Economic Review 35 (1994) 2, pp. 489-506
This paper examines the usefulness of H. White's (1982) information matrix test and test for heteroskedasticity of unspecified form as general checks of adequacy in the context of linear models. Asymptotic analysis and Monte Carlo results are provided, with the latter covering a number of...