AN ASYMPTOTIC TEST FOR THE DETECTION OF HETEROSKEDASTICITY

Mehmet Yuce ()
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Mehmet Yuce: Yeditepe University

Istanbul University Econometrics and Statistics e-Journal, 2008, vol. 8, issue 1, 33-44

Abstract: An asymptotic test for heteroskedasticity has been developed. The test does not rely on any assumption about heteroskedasticity, and introduces two alternative statistics based on the same idea. Power of these two alternative test statistics has been measured by Monte Carlo simulations. For large samples they performed fairly well, whereas for sample sizes ≤ 100, their power was influenced by the structure of the heteroskedasticity.

Keywords: Heteroskedasticity; large sample test; regression analysis; violations from the assumptions of classical linear regression model; residual analysis; asymptotic properties; Monte Carlo simulations; the power of the test (search for similar items in EconPapers)
JEL-codes: C00 C10 C19 (search for similar items in EconPapers)
Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:ist:ancoec:v:8:y:2008:i:1:p:33-44

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