LOGIN TO YOUR ACCOUNT

Username
Password
Remember Me
Or use your Academic/Social account:

CREATE AN ACCOUNT

Or use your Academic/Social account:

Congratulations!

You have just completed your registration at OpenAire.

Before you can login to the site, you will need to activate your account. An e-mail will be sent to you with the proper instructions.

Important!

Please note that this site is currently undergoing Beta testing.
Any new content you create is not guaranteed to be present to the final version of the site upon release.

Thank you for your patience,
OpenAire Dev Team.

Close This Message

CREATE AN ACCOUNT

Name:
Username:
Password:
Verify Password:
E-mail:
Verify E-mail:
*All Fields Are Required.
Please Verify You Are Human:
fbtwitterlinkedinvimeoflicker grey 14rssslideshare1
Publisher: Elsevier
Languages: English
Types: Article
Subjects: Heteroskedasticity, C12, C23, Error components, C12,C23,Error components,Heteroskedasticity,Testing, Testing, [QFIN.ST] Quantitative Finance [q-fin]/Statistical Finance [q-fin.ST], HB, C12; C23; Error components; Heteroskedasticity; Testing
Abstract This paper constructs tests for heteroskedasticity in one-way error components models, in line with Baltagi, Bresson and Pirotte (Journal of Econometrics, 134, 2006). Our tests have two additional robustness properties. First, standard tests for heteroskedasticity in the individual component are shown to be negatively affected by heteroskedasticity in the remainder component. We derive modified tests that are insensitive to heteroskedasticity in the component not being checked, and hence help identify the source of heteroskedasticity. Second, Gaussian based LM tests are shown to reject too often in the presence of heavy-tailed (e.g. t-Student) distributions. By using a conditional moments framework, we derive distribution-free tests that are robust to non-normalities. Our tests are computationally convenient since they are based on simple artificial regressions after pooled OLS estimation. correspondence: Corresponding author. Tel.: +44 (0)20 7040 8919. (Montes-Rojas, Gabriel) (Montes-Rojas, Gabriel) Department of Economics, City University London - Northampton Square--> , London EC1V 0HB--> - UNITED KINGDOM (Montes-Rojas, Gabriel) UNITED KINGDOM (Montes-Rojas, Gabriel) Department of Economics, Universidad de San Andres - ARGENTINA (Sosa-Escudero, Walter) ARGENTINA UNITED KINGDOM Received: 2008-11-11 Revised: 2010-06-02 Accepted: 2010-09-08
  • No references.
  • No related research data.
  • No similar publications.