On the application of robust, regression- based diagnostics to models of conditional means and conditional variances
- 1 January 1991
- journal article
- Published by Elsevier in Journal of Econometrics
- Vol. 47 (1) , 5-46
- https://doi.org/10.1016/0304-4076(91)90076-p
Abstract
No abstract availableThis publication has 32 references indexed in Scilit:
- Heteroskedasticity-Robust Tests in Regressions DirectionsAnnales de L'insee, 1985
- A general approach to lagrange multiplier model diagnosticsJournal of Econometrics, 1982
- Model specification testsJournal of Econometrics, 1982
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom InflationEconometrica, 1982
- Several Tests for Model Specification in the Presence of Alternative HypothesesEconometrica, 1981
- The Lagrange Multiplier Test and its Applications to Model Specification in EconometricsThe Review of Economic Studies, 1980
- A Simple Test for Heteroscedasticity and Random Coefficient VariationEconometrica, 1979
- Testing for Higher Order Serial Correlation in Regression Equations when the Regressors Include Lagged Dependent VariablesEconometrica, 1978
- The Robustness of Some Standard Tests for Autocorrelation and Heteroskedasticity when Both Problems Are PresentEconometrica, 1977
- Consistent Autoregressive Spectral EstimatesThe Annals of Statistics, 1974