A simple test for heteroscedasticity and random coefficient variation

Breusch, T; Pagan, AR

A simple test for heteroscedasticity and random coefficient variation

Breusch, T Pagan, AR

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Publisher:: Wiley-Blackwell
Publication Type:: Journal Article
Citation:: Econometrica, 1979, 47 (5), pp. 1287 - 1294
Issue Date:: 1979-01

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Field	Value	Language
dc.contributor.author	Breusch, T	en_US
dc.contributor.author	Pagan, AR	en_US
dc.date.issued	1979-01	en_US
dc.identifier.citation	Econometrica, 1979, 47 (5), pp. 1287 - 1294	en_US
dc.identifier.issn	0012-9682	en_US
dc.identifier.uri	http://hdl.handle.net/10453/13901
dc.description.abstract	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.	en_US
dc.publisher	Wiley-Blackwell	en_US
dc.relation.ispartof	Econometrica	en_US
dc.relation.isbasedon	10.2307/1911963	en_US
dc.subject.classification	Econometrics	en_US
dc.title	A simple test for heteroscedasticity and random coefficient variation	en_US
dc.type	Journal Article
utslib.citation.volume	5	en_US
utslib.citation.volume	47	en_US
utslib.for	1403 Econometrics	en_US
utslib.for	1401 Economic Theory	en_US
utslib.for	1402 Applied Economics	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
utslib.copyright.status	closed_access
pubs.consider-herdc	false	en_US
pubs.issue	5	en_US
pubs.volume	47	en_US

Abstract:

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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http://hdl.handle.net/10453/13901