The Lagrange multiplier test, often adopted to detect heteroscedasticity, suffers from severe size distortion and has low power. An existing robust test based on a forward search algorithm has shown better performance than many existing robust methods. Nevertheless, such a forward robust test relies on con¯dence bands based on the Student's-t distribution which hold only approximately. The robust forward weighted Lagrange multiplier test can be improved through extensive simulation of forward search con¯dence bands, which are set up under the hypothesis of no outlier in the data.
Robust Lagrange multiplier test with forward search simulation envelopes
GROSSI, Luigi;
2009-01-01
Abstract
The Lagrange multiplier test, often adopted to detect heteroscedasticity, suffers from severe size distortion and has low power. An existing robust test based on a forward search algorithm has shown better performance than many existing robust methods. Nevertheless, such a forward robust test relies on con¯dence bands based on the Student's-t distribution which hold only approximately. The robust forward weighted Lagrange multiplier test can be improved through extensive simulation of forward search con¯dence bands, which are set up under the hypothesis of no outlier in the data.File in questo prodotto:
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