×

A comparison of the power of some tests for heteroskedasticity in the general linear model. (English) Zbl 0289.62048


MSC:

62J05 Linear regression; mixed models
62F03 Parametric hypothesis testing
PDFBibTeX XMLCite
Full Text: DOI

References:

[1] Brown, R. L.; Durbin, J., Methods of investigating whether a regression relationship is constant over time, (Proceedings of the European Statistical Meeting (1968), University of Amsterdam: University of Amsterdam Amsterdam) · Zbl 0181.22102
[2] Geary, R. C., A note on residual heterovariance and estimation efficiency in regression, American Statistician, 20, 30-31 (1966)
[3] Glejser, H., A new test for heteroscedasticity, Journal of the American Statistical Association, 64, 316-323 (1969)
[4] Goldfeld, S. M.; Quandt, R. E., Some tests for heteroscedasticity, Journal of the American Statistical Association, 60, 539-547 (1965)
[5] Goldfeld, S. M.; Quandt, R. E., Nonlinear methods in econometrics (1972), North-Holland: North-Holland Amsterdam · Zbl 0231.62114
[6] Hedayat, A.; Robson, D. S., Independent stepwise residuals for testing homoscedasticity, Journal of the American Statistical Association, 65, 1573-1581 (1970) · Zbl 0225.62084
[7] Imhof, P. J., Computing the distribution of quadratic forms in normal variables, Biometrika, 48, 419-426 (1961) · Zbl 0136.41103
[8] Koerts, J.; Abrahamse, A. P.J., On the theory and application of the general linear model (1969), Universitaire Pers Rotterdam: Universitaire Pers Rotterdam Rotterdam · Zbl 0225.62081
[9] Park, R. E., Estimation with heteroscedastic error terms, Econometrica, 34, 888 (1966)
[10] Phillips, G. D.A.; Harvey, A. C., A simple test for serial correlation in regression analysis, European meeting of the Econometric Society (Oslo) (1973), Paper presented at · Zbl 0296.62058
[11] Ramsey, J. B., Tests for specification error in the general linear model, Journal of the Royal Statistical Society B, 31, 250-271 (1969)
[12] Ramsey, J. B.; Gilbert, R., A Monte Carlo study of some small sample properties of tests for specification error, Journal of the American Statistical Association, 67, 180-186 (1972) · Zbl 0231.62027
[13] Rutemiller, H. C.; Bowers, D. A., Estimation in a heteroscedastic regression model, Journal of the American Statistical Association, 63, 552-557 (1968)
[14] Theil, H., Estimates and their sampling variance of parameters of certain heteroscedastic distributions, Review of the International Statistical Institute, 19, 141-147 (1951) · Zbl 0044.14402
[15] Theil, H., Principles of Econometrics (1971), North-Holland: North-Holland Amsterdam · Zbl 0221.62002
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. In some cases that data have been complemented/enhanced by data from zbMATH Open. This attempts to reflect the references listed in the original paper as accurately as possible without claiming completeness or a perfect matching.