On type I errors after a preliminary test for heteroscedasticity

Journal of the Royal Statistical Society Series D: The Statistician

Volumn 48, Issue 1, 1999, Pages 63-72

  Forsberg, Lars ^b   Jonsson, Bo ^a   Kristiansson, Ulf ^b  

^a UPPSALA UNIVERSITY   (Sweden)

^b NONE

Author keywords

Heteroscedasticity; Pretest testing; Regression

Indexed keywords

EID: 0039104815     PISSN: 00390526     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9884.00171     Document Type: Article

References (8)

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2. Giles, J. A. and Giles, D. E. A. (1993) Pre-test estimation and testing in econometrics: recent developments. J. Econ. Surv., 7, 145-197.
3. Goldfeld, S. M. and Quandt, R. E. (1965) Some tests for homoscedasticity. J. Am. Statist. Ass., 60, 539-547.
4. Jonsson, B. (1996) On the consequences of using the conventional standard errors from least squares estimation when the errors are heteroscedastic. Research Report 1996:4. Department of Statistics, Uppsala University, Uppsala.
5. Kmenta, J. (1986) Elements of Econometrics. New York: Macmillan.
6. Maddala, J. (1988) Introduction to Econometrics. New York: Macmillan.
7. Robinson, P. M. (1987) Asymptotically efficient estimation in the presence of heteroskedasticity of unknown form. Econometrica, 55, 875-891.
8. White, H. (1980) A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity. Econometrica, 48, 817-838.