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Bartlett-corrected tests for heteroskedastic linear models

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  • Cribari-Netoa, Francisco
  • Ferrari, Silvia L. P.

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  • Cribari-Netoa, Francisco & Ferrari, Silvia L. P., 1995. "Bartlett-corrected tests for heteroskedastic linear models," Economics Letters, Elsevier, vol. 48(2), pages 113-118, May.
    • Handle: RePEc:eee:ecolet:v:48:y:1995:i:2:p:113-118
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    References listed on IDEAS

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    1. Evans, G B A & Savin, N E, 1982. "Conflict among the Criteria Revisited: The W, LR and LM Tests," Econometrica, Econometric Society, vol. 50(3), pages 737-748, May.
    2. Berndt, Ernst R & Savin, N Eugene, 1977. "Conflict among Criteria for Testing Hypotheses in the Multivariate Linear Regression Model," Econometrica, Econometric Society, vol. 45(5), pages 1263-1277, July.
    3. Breusch, T S, 1979. "Conflict among Criteria for Testing Hypotheses: Extensions and Comments," Econometrica, Econometric Society, vol. 47(1), pages 203-207, January.
    4. de Paula Ferrari, Silvia L. & Cribari-Neto, Francisco, 1993. "On the corrections to the Wald test of non-linear restrictions," Economics Letters, Elsevier, vol. 42(4), pages 321-326.
    5. Taniguchi, Masanobu, 1991. "Third-order asymptomic properties of a class of test statistics under a local alternative," Journal of Multivariate Analysis, Elsevier, vol. 37(2), pages 223-238, May.
    6. Phillips, Peter C B & Park, Joon Y, 1988. "On the Formulation of Wald Tests of Nonlinear Restrictions," Econometrica, Econometric Society, vol. 56(5), pages 1065-1083, September.
    7. Takesi Hayakawa, 1977. "The likelihood ratio criterion and the asymptotic expansion of its distribution," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 29(1), pages 359-378, December.
    8. Magdalinos, Michael A., 1992. "Stochastic Expansions and Asymptotic Approximations," Econometric Theory, Cambridge University Press, vol. 8(3), pages 343-367, September.
    9. Savin, N Eugene, 1976. "Conflict among Testing Procedures in a Linear Regression Model with Autoregressive Disturbances," Econometrica, Econometric Society, vol. 44(6), pages 1303-1315, November.
    10. Chandra, Tapas K. & Mukerjee, Rahul, 1991. "Bartlett-type modification for Rao's efficient score statistic," Journal of Multivariate Analysis, Elsevier, vol. 36(1), pages 103-112, January.
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    Cited by:

    1. Dufour, Jean-Marie & Khalaf, Lynda & Bernard, Jean-Thomas & Genest, Ian, 2004. "Simulation-based finite-sample tests for heteroskedasticity and ARCH effects," Journal of Econometrics, Elsevier, vol. 122(2), pages 317-347, October.
    2. Nelson C. Mark & Donggyu Sul, 2004. "The Use of Predictive Regressions at Alternative Horizons in Finance and Economics," NBER Technical Working Papers 0298, National Bureau of Economic Research, Inc.
    3. Cordeiro, Gauss M. & Colosimo, Enrico A., 1999. "Corrected score tests for exponential censored data," Statistics & Probability Letters, Elsevier, vol. 44(4), pages 365-373, October.

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