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An Asymptotic Test For The Detection Of Heteroskedasticity

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Author Info
Mehmet Yuce () (Yeditepe University)
Abstract

An asymptotic test for heteroskedasticity has been developed. The test does not rely on any assumption about heteroskedasticity, and introduces two alternative statistics based on the same idea. Power of these two alternative test statistics has been measured by Monte Carlo simulations. For large samples they performed fairly well, whereas for sample sizes ≤ 100, their power was influenced by the structure of the heteroskedasticity.

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File URL: http://eidergisi.istanbul.edu.tr/sayi8/iueis8m2.pdf
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Publisher Info
Article provided by Department of Econometrics, Faculty of Economics, Istanbul University in its journal Istanbul University Econometrics and Statistics e-Journal.

Volume (Year): 8 (2008)
Issue (Month): 1 (December)
Pages: 33-44
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Handle: RePEc:ist:ancoec:v:8:y:2008:i:1:p:33-44

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Related research
Keywords: Heteroskedasticity; large sample test; regression analysis; violations from the assumptions of classical linear regression model; residual analysis; asymptotic properties; Monte Carlo simulations; the power of the test;

Find related papers by JEL classification:
C00 - Mathematical and Quantitative Methods - - General - - - General
C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - General
C19 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Other

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This page was last updated on 2009-11-22.

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