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Testing for Grouped Heteroscedasticity in Linear Regression Model
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 Title & Authors
Testing for Grouped Heteroscedasticity in Linear Regression Model
Song, Seuck Heun; Choi, Moon Kyung;
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This paper consider the testing problem of grouped heteroscedasticity in the linear regression model. We provide the Lagrange Multiplier(LM), Wald, Likelihood Ratio (LR) test statistis for testing of grouped heteroscedasticity. Monte Carlo experiments are conducted to study the performance of these tests.
Grouped heteroscedasticity;LM;Wald;LR test;
 Cited by
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