Bibliography of Diagnostic Algorithms

Source: R/algorithms_bibliography.R · Help: ?algorithms_bibliography

References for the statistical tests implemented in heteroTests.

References

Breusch, T. S., & Pagan, A. R. (1979). A Simple Test for Heteroscedasticity and Random Coefficient Variation. Econometrica, 47(5), 1287–1294. Koenker, R. (1981). A note on studentizing a test for heteroscedasticity. Journal of Econometrics, 17(1), 107–112. doi:10.1016/0304-4076(81)90062-2. Goldfeld, S. M., & Quandt, R. E. (1965). Some tests for homoscedasticity. Journal of the American Statistical Association, 60(310), 539–547. Levene, H. (1960). Robust tests for equality of variances. In Contributions to Probability and Statistics (pp. 278–292). Stanford University Press. Brown, M. B., & Forsythe, A. B. (1974). Robust tests for the equality of variances. Journal of the American Statistical Association, 69(346), 364–367. doi:10.1080/01621459.1974.10482955. Fligner, M. A., & Killeen, T. J. (1976). Distribution-free two-sample tests for scale. Journal of the American Statistical Association, 71(353), 210–213. doi:10.1080/01621459.1976.10481517. Bartlett, M. S. (1937). Properties of sufficiency and statistical tests. Proceedings of the Royal Society of London, 160(901), 268–282. doi:10.1098/rspa.1937.0109. Hartley, H. O. (1950). The maximum F-ratio as a short-cut test for heterogeneity of variance. Biometrika, 37(3/4), 308–312. doi:10.2307/2332383. Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007. doi:10.2307/1912773. McLeod, A. I., & Li, W. K. (1983). Diagnostic checking ARMA time series models using squared-residual autocorrelations. Journal of Time Series Analysis, 4(4), 269–273. doi:10.1111/j.1467-9892.1983.tb00373.x. Cook, R. D., & Weisberg, S. (1983). Diagnostics for heteroscedasticity in regression. Biometrika, 70(1), 1–10. doi:10.1093/biomet/70.1.1. O'Brien, R. G. (1979). A general ANOVA method for robust tests of additive models for variances. Journal of the American Statistical Association, 74(368), 877–880. doi:10.1080/01621459.1979.10481047. Cameron, A. C., & Trivedi, P. K. (1990). The information matrix test and its applied alternative hypotheses. Working Paper, University of California, Davis. Spearman, C. (1904). The proof and measurement of association between two things. The American Journal of Psychology, 15(1), 72–101. Cameron, A. C. (1991). Regression based tests of heteroskedasticity in models where the variance depends on the mean (Working Paper No. WP-379). University of California, Davis. Greene, W. H. (2018). Econometric Analysis (8th ed.). Pearson. Wooldridge, J. M. (2020). Introductory Econometrics: A Modern Approach (7th ed.). Cengage Learning. Davidson, R., & MacKinnon, J. G. (2004). Econometric Theory and Methods. Oxford University Press. Godfrey, L. G. (1988). Misspecification Tests in Econometrics. Cambridge University Press. Fox, J., & Weisberg, S. (2019). An R Companion to Applied Regression (3rd ed.). Sage Publications. Kleiber, C., & Zeileis, A. (2008). Applied Econometrics with R. Springer-Verlag. Efron, B., & Tibshirani, R. J. (1993). An Introduction to the Bootstrap. Chapman & Hall.