Testing of Heteroscedasticity in Partially Linear Autoregressive Models with Exogenous Variables

摘要：

It is of considerable interest in testing heteroscedasticity in many practical studies. In this paper, variance structured method has been taken to study variance homogeneity for the partially linear autoregressive models systematically. The likelihood ratio test statistic and the score test statistic and then-corresponding adjusted versions based on the parameter orthogonalization are obtained to test the variance homogeneity.

关键词： Partially linear autoregressive models heteroscedasticity exogenous variable likelihood ratio statistic score statistic adjusted likelihood ratio statistic adjusted score statistic.

作者: Yuan Yang Liu Yingan Xia Yemao

作者单位: College of Science, Nanjing Forestry Univerisity 210037, China

会议类型: 国际会议

会议名称: 2010 International Conference on Probability and Statistics of the International Institute for General Systems Studies(国际一般系统理论研究会中国概率统计学会第二届学术会议IIGSS-CPS2010)

会议地点: 南京

会议语种:英文

页码: 313-317

在线出版日期: 2010-07-29（万方平台首次上网日期，不代表论文的发表时间）