The Lagrange Multiplier Test for Structural Change and Heteroscedasticity
Author(s)
Kang, Sujin
Type
Thesis
Abstract
I developed a Lagrange Multiplier Test, which can test the existence of structural change and heteroscedasticity at the same time for more than two groups in a linear regression model. This was compared with a likelihood ratio test using Monte Carlo simulation.
Date Issued
2001-08-25
Citation
2001
Identifier
https://library.korea.ac.kr/detail/?cid=CAT000000719238&ctype=t%5C