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.