Corrected modified profile likelihood heteroskedasticity tests
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- Jeffrey S. Simonoff & Chih‐Ling Tsai, 1994. "Use of Modified Profile Likelihood for Improved Tests of Constancy of Variance in Regression," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 43(2), pages 357-370, June.
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- Cysneiros, Audrey H.M.A. & Ferrari, Silvia L.P., 2006. "An improved likelihood ratio test for varying dispersion in exponential family nonlinear models," Statistics & Probability Letters, Elsevier, vol. 76(3), pages 255-265, February.
- Li, Zhaoyuan & Yao, Jianfeng, 2019. "Testing for heteroscedasticity in high-dimensional regressions," Econometrics and Statistics, Elsevier, vol. 9(C), pages 122-139.
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Keywords
Bartlett correction Heteroskedasticity Likelihood ratio test Nuisance parameters Profile likelihood;Statistics
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