Testing for heteroscedasticity in a dynamic simultaneous equation model |
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| Authors: | Y.K. Tse C.T. phoon |
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| Affiliation: | National University of Singapore , 0511, Singapore |
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| Abstract: | This paper generalizes the Lagrange multiplier test for heteroscedasticity to a dynamic simultaneous equation model. A proof ofthe validity of the test is given. Small sample proper- ties of the Lagrange multiplier test and its 'studentized' version, under normal and non-normal errors, are investigated using a Monte Carlo experiment. |
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| Keywords: | lagrange multiplier test studentized lagrange multiplier test error variances |
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