Bibliographical references


Bera, Anil K. (1966) "Model Specification Test Through Eigenvalues", Working Paper, Department of Economics, University of Illinois.

Bollerslev, Tim (1986) "Generalized Autorregressive Conditional Heteroskedasticity", Journal of Econometrics, 31, pp. 307-327.

Cavanagh, C.L. (1985) "Second Order Admissibility of Likelihood Based Tests", Harvard Institute of Economic Research, Discussion Paper 1148.

Davidson, R. Y James G. Mackinnon (1985) "Heteroskedasticity-Robust Tests in Regression Directions", manuscrito, Queen's University, Department of Economics.

Dorfman, A. (1988) "A finite Sample Comparison of White's Direct and Simple Tests for Heteroskedasticity", Journal of Statistical Computations and Simulation, Vol. 29, pp. 299-308.

Engle, Robert F. (1982) "Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of United Kingdom Inflation", Econometrica, 5O, pp. 987-1007.

Hall, A. (1985) "Heteroskedasticity Robust Lagrange Multiplier Tests for Serial Correlation and a Simplified Method of their Calculation", manuscrito.

Kiviet, Jan F. (1981) "On the rigour of sorne Misspecification Tests for Modelling Dynamic Relationships", manuscrito, University of Amsterdam.

Newey, W. (1985) "Maximun Likelihood Specification Testing and Conditional Moment Tests", Econometrica 53, 1047-1070. 

Orme, Chris (1987) "The small sample performance of the Information Matrix Test", Working Paper, Department of Economics, University of Nottingham.

Pérez Amaral, T. (1986) "M-tests and Dynamic Information Matrix Tests with and Application to Linear Regression" UCSD, mimeo.

Ruud, P.A. (1984) "Tests of Specification in Econometrics", Econometric Reviews 3, pp. 211-242.

Tauchen, G. (1984) "Diagnostic Testing and Evaluation of Maximum Likelihood Models", Duke University Working Papers in Economics, 84-01.

Taylor, Larry, W. (1987) "An application of modified ERA'S to White's Information Matrix Test", working paper, Leigh University.

White, H. (1985) "Specification Testing in Dynamic Models", UCSD Discussion Paper 85-30R.