[KSCI] Korea Science Citation Index Service

http://dx.doi.org/10.5351/CKSS.2004.11.3.475

Testing for Grouped Heteroscedasticity in Linear Regression Model

Song, Seuck Heun (Department of Statistics, Korea University)
Choi, Moon Kyung (M.I. Vally)

Publication Information

Communications for Statistical Applications and Methods / v.11, no.3, 2004 , pp. 475-484 More about this Journal

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.

Keywords

Grouped heteroscedasticity; LM; Wald; LR test;

Citations & Related Records

Reference

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