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Asymptotic Properties of Tests for Heteroskedasticity

Published online by Cambridge University Press:  11 February 2009

Jeffrey M. Wooldridge
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Econometric Theory , Volume 11 , Issue 2 , February 1995 , pp. 399 - 400
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Copyright © Cambridge University Press 1995

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References

REFERENCES

Breusch, T.S. & Pagan, A.R. (1979) A simple test for heteroskedasticity and random coefficient variation. Econometrica 47, 1287–1294.10.2307/1911963CrossRefGoogle Scholar
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White, H. (1980) A heteroskedasticity consistent covariance matrix estimator and a direct test for heteroskedasticity. Econometrica 48, 817–838.CrossRefGoogle Scholar
Wooldridge, J.M. (1991) On the application of robust, regression-based diagnostics to models of conditional means and conditional variances. Journal of Econometrics 47, 5–46.10.1016/0304-4076(91)90076-PCrossRefGoogle Scholar