What Do Heteroskedasticity Tests Detect?

Jayasri Dutta and Asad Zaman

MPRA Paper from University Library of Munich, Germany

Abstract: A test can be said to ‘detect’ an alternative hypothesis only if its power against this alternative exceeds its size. We use this principle to define the implicit null and alternative for a test. We analyze the performance of several tests for location and scale parameters. We show that there are many situations in which heteroskedasticity is impossible to detect: any test has zero power against many heteroskedastic alternatives.

Keywords: heteroskedasticity; tests; implicit null; implicit alternative (search for similar items in EconPapers)
JEL-codes: C12 C18 (search for similar items in EconPapers)
Date: 1989-04, Revised 1992-12
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:113344

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