Making use by the recent work by Harris, this paper provides the formula for size correction to the Lagrange multiplier test for heteroskedasticity. Monte Carlo experiments indicate that our size correction is effective in improving the accuracy of the size of the test. Since the Lagrange multiplier test tends to have a true size less than the nominal size in our experiments, the application of the test at a higher true significance level tends to increase the power of the test as well. Reasonable results in our numerical experiments also give a partial check on the validity of the derived formula. © 1988.
CITATION STYLE
Honda, Y. (1988). A size correction to the Lagrange multiplier test for heteroskedasticity. Journal of Econometrics, 38(3), 375–386. https://doi.org/10.1016/0304-4076(88)90052-8
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