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Robust tests for heteroscedasticity in a general framework

Author

Listed:
  • Marie Lebreton

    (GREThA - Groupe de Recherche en Economie Théorique et Appliquée - UB - Université de Bordeaux - CNRS - Centre National de la Recherche Scientifique)

  • Anne Peguin-Feissolle

    (GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique)

Abstract

In this paper, we suggest two heteroscedasticity tests that require little knowledge of the functional relationship determining the variance. The first one is based on a Taylor series expansion of the unknown scedastic function and the second one is based on artificial neural networks. These tests are easy to apply and perform well in our small-sample simulations, but they possess asymptotically incorrect sizes except in the case of normal errors. Therefore, we propose a simple modification in order to correct this non-robustness property. We investigate the size and the power of these tests by Monte Carlo experiments by comparing them to well-known heteroscedasticity tests.

Suggested Citation

  • Marie Lebreton & Anne Peguin-Feissolle, 2007. "Robust tests for heteroscedasticity in a general framework," Post-Print halshs-00390142, HAL.
    • Handle: RePEc:hal:journl:halshs-00390142
    DOI: 10.2307/20079184
    as

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    Citations

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    Cited by:

    1. Anne Péguin-Feissolle & Bilel Sanhaji, 2016. "Tests of the Constancy of Conditional Correlations of Unknown Functional Form in Multivariate GARCH Models," Annals of Economics and Statistics, GENES, issue 123-124, pages 77-101.
    2. Anne Péguin-Feissolle & Bilel Sanhaji, 2015. "Testing the Constancy of Conditional Correlations in Multivariate GARCH-type Models (Extended Version with Appendix)," AMSE Working Papers 1516, Aix-Marseille School of Economics, France.
    3. Chuffart Thomas & Flachaire Emmanuel & Péguin-Feissolle Anne, 2018. "Testing for misspecification in the short-run component of GARCH-type models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(5), pages 1-17, December.
    4. Vanessa Berenguer Rico & Ines Wilms, 2018. "White heteroscedasticty testing after outlier removal," Economics Series Working Papers 853, University of Oxford, Department of Economics.

    More about this item

    Keywords

    heteroscedasticity;

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