An improved lagrange multiplier test for heteroskedasticity
作者:
Francisco cribari-Neto,
Silvia L.P. Ferrari,
期刊:
Communications in Statistics - Simulation and Computation
(Taylor Available online 1995)
卷期:
Volume 24,
issue 1
页码: 31-44
ISSN:0361-0918
年代: 1995
DOI:10.1080/03610919508813228
出版商: Marcel Dekker, Inc.
关键词: Bartlett-type correction;chi-squared distribution;heteroskedas-ticity;Lagrange multiplier test;score test;size correction
数据来源: Taylor
摘要:
This paper proposes a Bartlett–corrected Lagrange multiplier statistic for the test of het-eroskedasticity. Under the null hypothesis, the test based on this improved statistic and the test based on modified critical values are equivalent to order n–1, where n is the sample size. We also give matrix expressions for the coefficients used in the corrections and a small program written in the S–PLUS language for the computation of such coefficients. Closedform expressions for the corrections in some simple models are also derived. Simulation results show that both corrected tests have empirical sizes closer to the nominal size than the original Lagrange multiplier test of heteroskedasticity.
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