Heteroskedasticity Testing Through a Comparison of Wald Statistics
This paper shows that a test for heteroskedasticity within the context of classical linear regression can be based on the difference between Wald statistics in heteroskedasticity-robust and nonrobust forms. The test is asymptotically distributed under the null hypothesis of homoskedasticity as chi-squared with one degree of freedom. The power of the test is sensitive to the choice of parametric restriction used by the Wald statistics, so the supremum of a range of individual test statistics is proposed. Two versions of a supremum-based test are considered: the first version does not have a known asymptotic null distribution, so the bootstrap is employed to approximate its empirical distribution. The second version has a known asymptotic distribution and, in some cases, is asymptotically pivotal under the null. A simulation study illustrates the use and .nite-sample performance of both versions of the test. In this study, the bootstrap is found to provide better size control than asymptotic critical values, namely with heavy-tailed, asymmetric distributions of the covariates. In addition, the use of well-known modifications of the heteroskedasticity consistent covariance matrix estimator of OLS coefficients is also found to benefit the tests'overall behaviour.
|Date of creation:||2013|
|Date of revision:|
|Contact details of provider:|| Postal: Colégio Espírito SANTO|
Phone: (351) 266 740 869
Web page: http://www.cefage.uevora.pt
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- J. A. Hausman, 1976.
"Specification Tests in Econometrics,"
185, Massachusetts Institute of Technology (MIT), Department of Economics.
- White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May.
- Russell Davidson & Emmanuel Flachaire, 2008.
"The wild bootstrap, tamed at last,"
- Russell Davidson & Emmanuel Flachaire, 2001. "The Wild Bootstrap, Tamed at Last," Working Papers 1000, Queen's University, Department of Economics.
- Russell Davidson & Emmanuel Flachaire, 2000. "The Wild Bootstrap, Tamed at Last," Econometric Society World Congress 2000 Contributed Papers 1413, Econometric Society.
- Emmanuel Flachaire, 2001. "The Wild Bootstrap, Tamed at Last," STICERD - Distributional Analysis Research Programme Papers 58, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Davidson, R. & Flachaire, E., 1999. "The Wild Bootstrap, Tamed at Last," G.R.E.Q.A.M. 99a32, Universite Aix-Marseille III.
- Russell Davidson & Emmanuel Flachaire, 2001. "The wild bootstrap, tamed at last," LSE Research Online Documents on Economics 6560, London School of Economics and Political Science, LSE Library.
- MacKinnon, James G. & White, Halbert, 1985.
"Some heteroskedasticity-consistent covariance matrix estimators with improved finite sample properties,"
Journal of Econometrics,
Elsevier, vol. 29(3), pages 305-325, September.
- James G. MacKinnon & Halbert White, 1983. "Some Heteroskedasticity Consistent Covariance Matrix Estimators with Improved Finite Sample Properties," Working Papers 537, Queen's University, Department of Economics.
- Godfrey, Leslie G., 1996. "Some results on the Glejser and Koenker tests for heteroskedasticity," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 275-299.
- Godfrey, Leslie G., 1978. "Testing for multiplicative heteroskedasticity," Journal of Econometrics, Elsevier, vol. 8(2), pages 227-236, October.
- Koenker, Roger, 1981. "A note on studentizing a test for heteroscedasticity," Journal of Econometrics, Elsevier, vol. 17(1), pages 107-112, September.
- Machado, Jose A. F. & Silva, J. M. C. Santos, 2000. "Glejser's test revisited," Journal of Econometrics, Elsevier, vol. 97(1), pages 189-202, July.
- Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119, December.
- L. G. Godfrey & C. D. Orme & J. M. C. Santos Silva, 2006. "Simulation-based tests for heteroskedasticity in linear regression models: Some further results," Econometrics Journal, Royal Economic Society, vol. 9(1), pages 76-97, 03.
- Chesher, Andrew & Jewitt, Ian, 1987. "The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator," Econometrica, Econometric Society, vol. 55(5), pages 1217-22, September.
When requesting a correction, please mention this item's handle: RePEc:cfe:wpcefa:2013_06. 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: (Angela Pacheco)
If references are entirely missing, you can add them using this form.