Consistency tests for heteroskedastic and risk models
This paper considers a class of consistency tests for the specification of heteroskedastic and risk models. The tests are related to other procedures such as the conditional mom...
Publications
3 shownA Simple Test for Heteroscedasticity and Random Coefficient Variation
A simple test for heteroscedastic disturbances in a linear regression model is developed using the framework of the Lagrangian multiplier test. For a wide range of heteroscedast...
The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
Journal Article The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics Get access T. S. Breusch, T. S. Breusch University of Southampton Search...
Frequent Co-Authors
Researcher Info
- h-index
- 3
- Publications
- 3
- Citations
- 13,352
- Institution
- Australian National University
External Links
Impact Metrics
h-index
3
h-index: Number of publications with at least h citations each.