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首页> 外文期刊>The econometrics journal >Generalized LM tests for functional form and heteroscedasticity
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Generalized LM tests for functional form and heteroscedasticity

机译:功能形式和异方差性的通用LM测试

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摘要

We present a generalized LM test of heteroscedasticity allowing the presence of data transformation and a generalized LM test of functional form allowing the presence of heteroscedasticity. Both generalizations are meaningful as non-normality and heteroscedasticity are common in economic data. A joint test of functional form and heteroscedasticity is also given. These tests are further 'studentized' to account for possible excess skewness and kurtosis of the errors in the model. All tests are easy to implement. They are based on the expected information and are shown to possess excellent finite sample properties. Several related tests are also discussed and their finite sample performances assessed. We found that our newly proposed tests significantly outperform the others, in particular in the cases where the errors are non-normal.
机译:我们提出了异方差的广义LM测试,允许存在数据转换,而功能形式的广义LM测试,则允许存在异方差。两种概括都是有意义的,因为非正态性和异方差性在经济数据中很常见。还对功能形式和异方差进行了联合测试。对这些测试进行进一步的“学习”,以说明模型中可能存在的过度偏斜和峰度。所有测试都很容易实现。它们基于预期的信息,并显示具有出色的有限样本属性。还讨论了几种相关的测试,并对它们的有限样品性能进行了评估。我们发现,我们新提出的测试明显优于其他测试,特别是在错误非正常的情况下。

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