Econometrica Vol. 47 No. 5 1979
A Simple Test for Heteroscedasticity and Random Coefficient Variation
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.
- DOI
- 10.2307/1911963
- Volume
- 47
- Issue
- 5
- Pages
- 1287
- Sources
- bibtex:phds-export.bib openalex crossref