The robustness, reliabiligy and power of heteroskedasticity tests
Leslie Godfrey and
Chris Orme ()
Econometric Reviews, 1999, vol. 18, issue 2, 169-194
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)
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Persistent link: https://EconPapers.repec.org/RePEc:taf:emetrv:v:18:y:1999:i:2:p:169-194
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