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Corrected modified profile likelihood heteroskedasticity tests

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  • Ferrari, Silvia L. P.
  • Cribari-Neto, Francisco

Abstract

This paper considers the issue of testing for the constancy of variances in linear regression models. We obtain a Bartlett correction to the modified profile likelihood ratio test proposed by Simonoff and Tsai (Appl. Statist. 43 (1994) 357) who have used the approach proposed by Cox and Reid (J. R. Statist. Soc. B 49 (1987) 1). Our numerical results show that the corrected test we propose outperform the original likelihood ratio test, the Bartlett-corrected likelihood ratio test, and the modified profile likelihood ratio test in small samples. The proposed test displays good finite sample behaviour at very low significance levels.

Suggested Citation

  • Ferrari, Silvia L. P. & Cribari-Neto, Francisco, 2002. "Corrected modified profile likelihood heteroskedasticity tests," Statistics & Probability Letters, Elsevier, vol. 57(4), pages 353-361, May.
    • Handle: RePEc:eee:stapro:v:57:y:2002:i:4:p:353-361
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    References listed on IDEAS

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    1. Jeffrey S. Simonoff & Chih‐Ling Tsai, 1994. "Use of Modified Profile Likelihood for Improved Tests of Constancy of Variance in Regression," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 43(2), pages 357-370, June.
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    1. Cysneiros, Audrey H.M.A. & Ferrari, Silvia L.P., 2006. "An improved likelihood ratio test for varying dispersion in exponential family nonlinear models," Statistics & Probability Letters, Elsevier, vol. 76(3), pages 255-265, February.
    2. Li, Zhaoyuan & Yao, Jianfeng, 2019. "Testing for heteroscedasticity in high-dimensional regressions," Econometrics and Statistics, Elsevier, vol. 9(C), pages 122-139.

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