Several tests for heteroskedasticity in linear regression models are examined. Asymptoticrobustness to heterokurticity …, nonnormality and skewness is discussed. The finite sample eliability of asymptotically valid tests is investigated using Monte …

(non-normality) and heteroskedasticity. … distribution including no condition on the existence of moments allowing for heterogeneity (or heteroskedasticity) of unknown form … condition on error moment existence, allowing for heterogeneity (or heteroskedasticity) of unknown form, noncontinuous …

, we study the performanceof the test in the case of heteroscedasticity, non-normality, endogeneity,dense weighting … matrices and non-linearity. Our results offer a positive view of theLikelihood Ratio test of Common Factors, which appears to …

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 heteroskedasticity-robust variance estimators and different skedastic …

This paper proposes estimating linear dynamic panels by explicitly exploiting the endogeneity of lagged dependent … conditions (with or without a unit root), and error characteristics (homoskedasticity or heteroskedasticity of different forms …