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A new test to detect monotonic and non-monotonic types of heteroscedasticity

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  • Reşit Çelik

Abstract

A direct parametric test is proposed to detect monotonic and non-monotonic types of heteroscedasticity. After giving brief information about non-monotonic types of heteroscedasticity, the test algorithm is introduced. Proposed test and usual heteroscedasticity tests are compared on monotonic and non-monotonic types of heteroscedasticity in real and artificial data.

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  • Reşit Çelik, 2017. "A new test to detect monotonic and non-monotonic types of heteroscedasticity," Journal of Applied Statistics, Taylor & Francis Journals, vol. 44(2), pages 342-361, January.
    • Handle: RePEc:taf:japsta:v:44:y:2017:i:2:p:342-361
    DOI: 10.1080/02664763.2016.1169258
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    1. Harvey, A C, 1976. "Estimating Regression Models with Multiplicative Heteroscedasticity," Econometrica, Econometric Society, vol. 44(3), pages 461-465, May.
    2. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
    3. Breusch, T S & Pagan, A R, 1979. "A Simple Test for Heteroscedasticity and Random Coefficient Variation," Econometrica, Econometric Society, vol. 47(5), pages 1287-1294, September.
    4. Godfrey, Leslie G., 1978. "Testing for multiplicative heteroskedasticity," Journal of Econometrics, Elsevier, vol. 8(2), pages 227-236, October.
    5. Maria Carapeto & William Holt, 2003. "Testing for heteroscedasticity in regression models," Journal of Applied Statistics, Taylor & Francis Journals, vol. 30(1), pages 13-20.
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