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Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects

  • Dufour, J.M.
  • Khalaf, L.
  • Bernard, J.T.
  • Genest, I.

In this paper we describe a solution to the problem of controlling the size of homoskedasticity tests in linear regression contexts.

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Paper provided by Centre interuniversitaire de recherche en économie quantitative, CIREQ in its series Cahiers de recherche with number 2001-08.

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Length: 42 pages
Date of creation: 2001
Date of revision:
Handle: RePEc:mtl:montec:2001-08
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  1. Koenker, Roger & Bassett, Gilbert, Jr, 1982. "Robust Tests for Heteroscedasticity Based on Regression Quantiles," Econometrica, Econometric Society, vol. 50(1), pages 43-61, January.
  2. Demos, Antonis & Sentana, Enrique, 1998. "Testing for GARCH effects: a one-sided approach," Journal of Econometrics, Elsevier, vol. 86(1), pages 97-127, June.
  3. Dufour, J.-M., 1986. "Exact tests and confidence sets in linear regressions with autocorrelated errors," CORE Discussion Papers 1986037, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  4. Christiano, Lawrence J, 1992. "Searching for a Break in GNP," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 237-50, July.
  5. Binkley, James K, 1992. "Finite Sample Behavior of Tests for Grouped Heteroskedasticity," The Review of Economics and Statistics, MIT Press, vol. 74(3), pages 563-68, August.
  6. Dufour, J.M. & Kiviet, J.F., 1995. "Exact Tests in Single Equation Autoregressive Distributed Lag Models," Cahiers de recherche 9549, Universite de Montreal, Departement de sciences economiques.
  7. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
  8. Dufour, Jean-Marie, 1989. "Nonlinear Hypotheses, Inequality Restrictions, and Non-nested Hypotheses: Exact Simultaneous Tests in Linear Regressions," Econometrica, Econometric Society, vol. 57(2), pages 335-55, March.
  9. Dufour, J.M. & Kiviet, J.F., 1995. "Exact Inference Methods for First-Order Autoregressive Distributed Lag Models," Cahiers de recherche 9547, Universite de Montreal, Departement de sciences economiques.
  10. Griffiths, W. E. & Surekha, K., 1986. "A Monte Carlo evaluation of the power of some tests for heteroscedasticity," Journal of Econometrics, Elsevier, vol. 31(2), pages 219-231, March.
  11. Jean-Thomas Bernard & Jean-Marie Dufour & Ian Genest & Lynda Khalaf, 2001. "Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects," CIRANO Working Papers 2001s-25, CIRANO.
  12. Dufour, Jean-Marie & Khalaf, Lynda, 2002. "Exact tests for contemporaneous correlation of disturbances in seemingly unrelated regressions," Journal of Econometrics, Elsevier, vol. 106(1), pages 143-170, January.
  13. Dagenais, M.G. & Dufour, J.M., 1987. "Invariance, Nonlinear Models and Asymptotic Tests," Cahiers de recherche 8738, Universite de Montreal, Departement de sciences economiques.
  14. Robert F. Engle & David F. Hendry & David Trumble, 1985. "Small-Sample Properties of ARCH Estimators and Tests," Canadian Journal of Economics, Canadian Economics Association, vol. 18(1), pages 66-93, February.
  15. Harrison, M J, 1982. "Tables of Critical Values for a Beta Approximation to Szroeter's Statistic for Testing for Heteroscedasticity," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 44(2), pages 159-67, May.
  16. Breusch, T S & Pagan, A R, 1979. "A Simple Test for Heteroscedasticity and Random Coefficient Variation," Econometrica, Econometric Society, vol. 47(5), pages 1287-94, September.
  17. Hansen, B.E., 1991. "Inference when a Nuisance Parameter is Not Identified Under the Null Hypothesis," RCER Working Papers 296, University of Rochester - Center for Economic Research (RCER).
  18. Bruce E. Hansen, 1998. "Testing for Structural Change in Conditional Models," Boston College Working Papers in Economics 310., Boston College Department of Economics.
  19. King, Maxwell L, 1981. "A Note on Szroeter's Bounds Test," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 43(3), pages 315-21, August.
  20. 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.
  21. DUFOUR, Jean-Marie & TORRÈS, Olivier, 2000. "Markovian Processes, Two-Sided Autoregressions and Finite-Sample Inference for Stationary and Nonstationary Autoregressive Processes," Cahiers de recherche 2000-12, Universite de Montreal, Departement de sciences economiques.
  22. Szroeter, Jerzy, 1978. "A Class of Parametric Tests for Heteroscedasticity in Linear Econometric Models X1-ab," Econometrica, Econometric Society, vol. 46(6), pages 1311-27, November.
  23. Honda, Yuzo, 1988. "A size correction to the Lagrange multiplier test for heteroskedasticity," Journal of Econometrics, Elsevier, vol. 38(3), pages 375-386, July.
  24. Andrews, Donald W K, 2001. "Testing When a Parameter Is on the Boundary of the Maintained Hypothesis," Econometrica, Econometric Society, vol. 69(3), pages 683-734, May.
  25. 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.
  26. Cribari-Netoa, Francisco & Ferrari, Silvia L. P., 1995. "Bartlett-corrected tests for heteroskedastic linear models," Economics Letters, Elsevier, vol. 48(2), pages 113-118, May.
  27. Lee, John H H & King, Maxwell L, 1993. "A Locally Most Mean Powerful Based Score Test for ARCH and GARCH Regression Disturbances," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(1), pages 17-27, January.
  28. Harvey, A C, 1976. "Estimating Regression Models with Multiplicative Heteroscedasticity," Econometrica, Econometric Society, vol. 44(3), pages 461-65, May.
  29. Newey, Whitney K & Powell, James L, 1987. "Asymmetric Least Squares Estimation and Testing," Econometrica, Econometric Society, vol. 55(4), pages 819-47, July.
  30. 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.
  31. F. Cribari-Neto & S. G. Zarkos, 1999. "Bootstrap methods for heteroskedastic regression models: evidence on estimation and testing," Econometric Reviews, Taylor & Francis Journals, vol. 18(2), pages 211-228.
  32. Harrison, M J, 1980. "The Small Sample Performance of the Szroeter Bounds Test for Heteroscedasticity and a Simple Test for Use When Szroeter's Test is Inconclusive," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 42(3), pages 235-50, August.
  33. Godfrey, Leslie G., 1978. "Testing for multiplicative heteroskedasticity," Journal of Econometrics, Elsevier, vol. 8(2), pages 227-236, October.
  34. DUFOUR, Jean-Marie & KHALAF, Lynda, 2000. "Simulation-Based Finite and Large Sample Tests in Multivariate Regressions," Cahiers de recherche 2000-10, Universite de Montreal, Departement de sciences economiques.
  35. Koenker, Roger, 1981. "A note on studentizing a test for heteroscedasticity," Journal of Econometrics, Elsevier, vol. 17(1), pages 107-112, September.
  36. Farebrother, R. W., 1987. "The statistical foundations of a class of parametric tests for heteroscedasticity," Journal of Econometrics, Elsevier, vol. 36(3), pages 359-368, November.
  37. Maekawa, Koichi, 1988. "Comparing the Wald, LR and LM tests for heteroscedasticity in a linear regression model," Economics Letters, Elsevier, vol. 26(1), pages 37-41.
  38. Donald W.K. Andrews, 1990. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Cowles Foundation Discussion Papers 943, Cowles Foundation for Research in Economics, Yale University.
  39. Ali, Mukhtar M. & Giaccotto, Carmelo, 1984. "A study of several new and existing tests for heteroscedasticity in the general linear model," Journal of Econometrics, Elsevier, vol. 26(3), pages 355-373, December.
  40. Dufour, Jean-Marie & Kiviet, Jan F., 1996. "Exact tests for structural change in first-order dynamic models," Journal of Econometrics, Elsevier, vol. 70(1), pages 39-68, January.
  41. Evans, Merran A. & King, Maxwell L., 1985. "A point optimal test for heteroscedastic disturbances," Journal of Econometrics, Elsevier, vol. 27(2), pages 163-178, February.
  42. Evans, Merran, 1992. "Robustness of size of tests of autocorrelation and heteroscedasticity to nonnormality," Journal of Econometrics, Elsevier, vol. 51(1-2), pages 7-24.
  43. Sharma, Subhash C. & Giaccotto, Carmelo, 1991. "Power and robustness of jackknife and likelihood-ratio tests for grouped heteroscedasticity," Journal of Econometrics, Elsevier, vol. 49(3), pages 343-372, September.
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