An omnibus test for heteroskedasticity

Richard Luger

Economics Letters, 2010, vol. 106, issue 1, 22-24

Abstract: Tests for heteroskedasticity in the classical linear regression framework typically require the researcher to specify the form of variance heterogeneity. This paper proposes a simulation-based test with power to detect unspecified forms of heteroskedasticity.

Keywords: Linear; regression; Heteroscedasticity; Exact; test; Monte; Carlo; test (search for similar items in EconPapers)
Date: 2010
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