A simple test for heteroscedasticity and random coefficient variation

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dc.contributor.author Breusch, T
dc.contributor.author Pagan, AR
dc.date.accessioned 2011-02-07T06:25:51Z
dc.date.issued 1979-01
dc.identifier.citation Econometrica, 1979, 47 (5), pp. 1287 - 1294
dc.identifier.issn 0012-9682
dc.identifier.other C1UNSUBMIT 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.
dc.format Yes
dc.publisher Wiley-Blackwell
dc.relation.isbasedon 10.2307/1911963
dc.subject NA, Econometrics
dc.subject NA; Econometrics
dc.title A simple test for heteroscedasticity and random coefficient variation
dc.type Journal Article
dc.parent Econometrica
dc.journal.volume 5
dc.journal.volume 47
dc.journal.number 5 en_US
dc.publocation USA en_US
dc.identifier.startpage 1287 en_US
dc.identifier.endpage 1294 en_US
dc.cauo.name BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 1403 Econometrics
dc.personcode 0000061388 en_US
dc.personcode 100844 en_US
dc.percentage 100 en_US
dc.classification.name Econometrics en_US
dc.classification.type FOR-08 en_US
dc.edition en_US
dc.custom en_US
dc.date.activity en_US
dc.location.activity en_US
dc.description.keywords NA en_US
dc.description.keywords NA
dc.description.keywords NA
dc.description.keywords NA
dc.staffid en_US
dc.staffid 100844 en_US
pubs.embargo.period Not known
pubs.organisational-group /University of Technology Sydney
pubs.organisational-group /University of Technology Sydney/Faculty of Business


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