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White heteroscedasticty testing after outlier removal

Berenguer-Rico, Vanessa; Wilms, Ines - 2018

Persistent link: https://www.econbiz.de/10011910640

Heteroskedasticity Testing Through Comparison of Wald-Type Statistics

Murteira, José; Ramalho, Esmeralda; Ramalho, Joaquim - Grupo de Estudos Monetários e Financeiros (GEMF), … - 2011

to the choice of parametric restriction on which the Wald statistics are based, so the supremum of a range of individual … test statistics is proposed. Two versions of a supremum-based test are considered: the first version, easier to implement …

Persistent link: https://www.econbiz.de/10008865977

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

Heteroskedasticity Testing Through a Comparison of Wald Statistics

Murteira, José M.R.; Ramalho, Esmeralda A.; Ramalho, … - Centro de Estudos e Formação Avançada em Gestão e … - 2013

Persistent link: https://www.econbiz.de/10010610768

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

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

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