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A size correction to the Lagrange multiplier test for heteroskedasticity

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  • Honda, Yuzo

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  • Honda, Yuzo, 1988. "A size correction to the Lagrange multiplier test for heteroskedasticity," Journal of Econometrics, Elsevier, vol. 38(3), pages 375-386, July.
    • Handle: RePEc:eee:econom:v:38:y:1988:i:3:p:375-386
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    Cited by:

    1. Rahman, Shahidur & King, Maxwell L., 1997. "Marginal-likelihood score-based tests of regression disturbances in the presence of nuisance parameters," Journal of Econometrics, Elsevier, vol. 82(1), pages 81-106.
    2. Barbone,Luca & Marchetti, Jr., Domenico & Paternostro,Stefano, 1996. "Structural adjustment, ownership transformation, and size in Polish industry," Policy Research Working Paper Series 1624, The World Bank.
    3. MacKinnon, James G, 1992. "Model Specification Tests and Artificial Regressions," Journal of Economic Literature, American Economic Association, vol. 30(1), pages 102-146, March.
    4. Andrea Bucci, 2024. "A sequential test procedure for the choice of the number of regimes in multivariate nonlinear models," Papers 2406.02152, arXiv.org.
    5. Francisco Cribari-Neto, 1996. "On the Corrections to Information Matrix Tests," Econometrics 9601001, University Library of Munich, Germany.
    6. 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.
    7. Brown, Kenneth & Cribari-Neto, Francisco, 1992. "On Hypothesis Testing: A Selective Look at the Lagrange Multiplier, Likelihood Ratio and Wald Tests," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 12(2), November.
    8. Cribari-Neto, Francisco & Ferrari, Silvia L. P., 2001. "Monotonic improved critical values for two [chi]2 asymptotic criteria," Economics Letters, Elsevier, vol. 71(3), pages 307-316, June.
    9. Francisco Cribari-Neto, 1997. "On the corrections to information matrix tests," Econometric Reviews, Taylor & Francis Journals, vol. 16(1), pages 39-53.

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