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Uso de los estimadores HC en presencia de heterocedasticidad multiplicativa

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  • Andres Felipe Hoyos Martin

Abstract

Este trabajo muestra el uso de los tipos de matrices de covarianza consistentes de heterocedasticidad (HCCM, por sus siglas en ingles) o estimadores HC, en presencia de diferentes niveles de heterocedasticidad multiplicativa y diferentes tamanos de muestra. Además se analiza el comportamiento de estas con diferentes tipos de distribución de la variable independiente. Se realiza una simulación de Monte Carlo para observar el poder y el tamano de la pruebas en la inferencia sobre el parámetro estimado que acompana la variable independiente del modelo. Se encuentra que en presencia de niveles bajos de heterocedasticidad y muestras pequenas, las pruebas pierden poder aunque se observa de manera general que la corrección HC3, es la mejor comportada.

Suggested Citation

  • Andres Felipe Hoyos Martin, 2015. "Uso de los estimadores HC en presencia de heterocedasticidad multiplicativa," Icesi Economics Working Papers 14564, Universidad Icesi.
    • Handle: RePEc:col:000495:014564
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    References listed on IDEAS

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    6. Godfrey, Leslie G., 1978. "Testing for multiplicative heteroskedasticity," Journal of Econometrics, Elsevier, vol. 8(2), pages 227-236, October.
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