IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this paper

What Do tests for Heteroskedasticity Detect?

Listed author(s):
  • Jayasri Dutta
  • Asad Zaman

A test is said to detect an alternative hypothesis if it is unbiased against it, at all levels and all sample sizes. It is a robust test if this property is true for a large class of null distributions. This approach allows for method of comparison of tests which can be carried out for finite samples as well as in asymptotic behavior. We use this method to compare the properties of several methods of testing for heteroskedasticity, emphasizing on the possibility of testing for nonspecific heteroskedasticity. We show that a robust test for non-specific heteroskedasticity is impossible. Usual tests, both exact and asymptotic, usually retain robustness, while giving up non-specifity. We demonstrate and apply methods which characterize, for a large class, the directions which such tests detect. Alternatively, one may give up robustness in order to detect all departures from the null. We show that such a test can be developed along lines suggested by Pitman (1938). The test is distribution specific. The test statistic for the normal distribution writes as the ratio of arithmetic and geometric means of the squared errors.

To our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.

Paper provided by University of Bonn, Germany in its series Discussion Paper Serie A with number 248.

in new window

Date of creation: Aug 1989
Handle: RePEc:bon:bonsfa:248
Contact details of provider: Postal:
Bonn Graduate School of Economics, University of Bonn, Adenauerallee 24 - 26, 53113 Bonn, Germany

Fax: +49 228 73 6884
Web page:

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:bon:bonsfa:248. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (BGSE Office)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.