The Laplace Likelihood Ratio Test for Heteroscedasticity

J. Martin van Zyl

International Journal of Mathematics and Mathematical Sciences, 2011, vol. 2011, 1-7

Abstract:

It is shown that the likelihood ratio test for heteroscedasticity, assuming the Laplace distribution, gives good results for Gaussian and fat-tailed data. The likelihood ratio test, assuming normality, is very sensitive to any deviation from normality, especially when the observations are from a distribution with fat tails. Such a likelihood test can also be used as a robust test for a constant variance in residuals or a time series if the data is partitioned into groups.

Date: 2011
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://downloads.hindawi.com/journals/IJMMS/2011/249564.pdf (application/pdf)
http://downloads.hindawi.com/journals/IJMMS/2011/249564.xml (text/xml)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hin:jijmms:249564

DOI: 10.1155/2011/249564

Access Statistics for this article

More articles in International Journal of Mathematics and Mathematical Sciences from Hindawi
Bibliographic data for series maintained by Mohamed Abdelhakeem ().