Heteroskedasticity Testing Through Comparison of Wald-Type Statistics

José Murteira (), Esmeralda Ramalho () and Joaquim Ramalho ()
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José Murteira: Faculdade de Economia Universidade de Coimbra / CEMAPRE

No 2011-05, GEMF Working Papers from GEMF, Faculty of Economics, University of Coimbra

Abstract: A test for heteroskedasticity within the context of classical linear regression can be based on the difference between Wald statistics in heteroskedasticity-robust and nonrobust forms. The resulting statistic is asymptotically distributed under the null hypothesis of homoskedasticity as chi-squared with one degree of freedom. The power of this test is sensitive to the choice of parametric restriction on which the Wald statistics are based, so the supremum of a range of individual test statistics is proposed. Two versions of a supremum-based test are considered: the first version, easier to implement, does not have a known asymptotic null distribution, so the bootstrap is employed in order to assess its behaviour and enable meaningful conclusions from its use in applied work. The second version has a known asymptotic distribution and, in some cases, is asymptotically pivotal under the null. A small simulation study illustrates the implementation and finite-sample performance of both versions of the test.

Keywords: Heteroskedasticity testing; White test; Wald test; Supremum (search for similar items in EconPapers)
JEL-codes: C12 C21 (search for similar items in EconPapers)
Pages: 28 pages
Date: 2011-01
New Economics Papers: this item is included in nep-ecm
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Persistent link: https://EconPapers.repec.org/RePEc:gmf:wpaper:2011-05

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