Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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Testing for Grouped Heteroscedasticity in Linear Regression Model

  • Published : 2004.12.01
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Abstract

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.

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References

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