A simple test for heteroscedasticity and random coefficient variation

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Journal Article
Econometrica, 1979, 47 (5), pp. 1287 - 1294
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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 heteroscedastic and random coefficient specifications, the criterion is given as a readily computed function of the OLS residuals. Some finite sample evidence is presented to supplement the general asymptotic properties of Lagrangian multiplier tests.
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