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An Improved Test for Heteroskedasticity Using Adjusted Modified Profile Likelihood Inference by Silvia L.P. Ferrari; Audrey H.M.A. Cysneiros; Francisco Cribari-Neto is a Mathematics article available to read on EtoBox.

What is An Improved Test for Heteroskedasticity Using Adjusted Modified Profile Likelihood Inference about?

This paper addresses the issue of testing for heteroskedasticity in linear regression models. We derive a Bartlett adjustment to the modiÿed proÿle likelihood ratio test (J. Roy. Statist. Soc. B 49 (1987) 1) for heteroskedasticity in the normal linear regression model. Our results generalize those in Ferrari and Cribari-Neto (Statist. Probab. Lett. 57 (2002) 353), since they allow for a vector-valued structure for the parameter that deÿnes the skedastic function. Monte Carlo evidence shows that the proposed test displays reliable ÿnite-sample behavior, outperforming the original likelihood ratio test, the Bartlett-corrected likelihood ratio test, and the modiÿed proÿle likelihood ratio test.

Who reads An Improved Test for Heteroskedasticity Using Adjusted Modified Profile Likelihood Inference?

Author

Silvia L.P. Ferrari; Audrey H.M.A. Cysneiros; Francisco Cribari-Neto

Publisher

Elsevier Science; Elsevier ; Elsevier BV (ISSN 0378-3758)

Published

2004

Language

EN

Field

Mathematics (Physical Sciences)