Communications for Statistical Applications and Methods

  • 제11권3호
  • /
  • Pages.475-484
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  • 2004
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  • 2287-7843(pISSN)
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  • 2383-4757(eISSN)
한국통계학회 (The Korean Statistical Society)
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Testing for Grouped Heteroscedasticity in Linear Regression Model

  • 발행 : 2004.12.01
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초록

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.

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참고문헌

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  2. Buse, A (1982), The likelihood ratio, wald, and lagrange multiplier tests: An expository note, The American Statistician, Vol. 36, 153-157 https://doi.org/10.2307/2683166
  3. Goldfeld, S.M. and Quandt, R.E. (1965), Some tests for heteroscedasticity, Journal of the American Statistical Association, Vol. 60, 539-547 https://doi.org/10.2307/2282689
  4. Hartley, H.O. and Rao, J.N.K. (1967), Maximum likelihood estimation for the mixed analysis of variance model, Biometrika, Vol. 54, 93-108 https://doi.org/10.1093/biomet/54.1-2.93
  5. Harvey, A.C. and Phillips, G.D.A (1974), A comparison of the power of some tests of heteroscedasticity in the general linear model, Journal of Econometrics, Vol. 2,307-316 https://doi.org/10.1016/0304-4076(74)90016-5
  6. Hemmerle, W.J. and Hartley, H.O. (1973), Computing maximum likelihood estimates for the mixed model using the W-transformation, Technometrics, Vol. 15, 819-831 https://doi.org/10.2307/1267392