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| Tekijä: | Simonoff, J. Tsai, C. |
| Otsikko: | Use of modified profile likelihood for improved tests of constancy of variance in regression |
| Lehti: | Applied Statistics
1994 : VOL. 43:2, p. 357-370 |
| Asiasana: | HETEROSCEDASTICITY RISK SECURITY |
| Kieli: | eng |
| Tiivistelmä: | Non-constant variance (heteroscedasticity) is common in regression data, and many tests have been proposed for detecting it. This paper shows that the properties of likelihood-based tests can be improved by using the modified profile likelihood of Cox and Reid. A modified likelihood ratio test and modified score tests are derived, and both theoretical and intuitive justifications are given for the improved properties of the tests. The results of a Monte Carlo study are mentioned. |
SCIMA