EconPapers    
Economics at your fingertips  
 

The robustness, reliabiligy and power of heteroskedasticity tests

Leslie Godfrey and Chris Orme ()

Econometric Reviews, 1999, vol. 18, issue 2, 169-194

Abstract: Several tests for heteroskedasticity in linear regression models are examined. Asymptoticrobustness to heterokurticity, nonnormality and skewness is discussed. The finite sample eliability of asymptotically valid tests is investigated using Monte Carlo experiments. It is found that asymptotic critical values cannot, in general. be relied upon to give good agreement between nominal and actual finite sample significance levels. The use of the bootstrap overcomes this problem for general approaches that lead to asymptotically pivotal test statistics. Power comparisons are made for bootstrap tests and modified Glejser and Koenker tests are recommended.

Keywords: heteroskedasticity; robustness; nonnormality; bootstrap; JEL Classification:C12; C52 (search for similar items in EconPapers)
Date: 1999
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7) Track citations by RSS feed

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/07474939908800438 (text/html)
Access to full text is restricted to subscribers.

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:taf:emetrv:v:18:y:1999:i:2:p:169-194

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/LECR20

DOI: 10.1080/07474939908800438

Access Statistics for this article

Econometric Reviews is currently edited by Dr. Essie Maasoumi

More articles in Econometric Reviews from Taylor & Francis Journals
Bibliographic data for series maintained by ().

 
Page updated 2021-04-12
Handle: RePEc:taf:emetrv:v:18:y:1999:i:2:p:169-194