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Testing for Heteroskedasticity and Predictive Failure in Linear Regression Models

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  • L. G. Godfrey

Abstract

It is argued that, when researchers wish to carry out a Chow test of the significance of prediction errors, it is necessary to assume homoskedasticity because standard results on heteroskedasticity‐robust tests are not available. The effects of heteroskedasticity on the Chow prediction error test are examined. The implementation of tests for heteroskedasticity is discussed, with the case in which the regressors include dummy variables for prediction error tests receiving special attention. Monte Carlo results are reported.

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  • L. G. Godfrey, 2008. "Testing for Heteroskedasticity and Predictive Failure in Linear Regression Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(3), pages 415-429, June.
    • Handle: RePEc:bla:obuest:v:70:y:2008:i:3:p:415-429
    DOI: 10.1111/j.1468-0084.2007.00498.x
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    Cited by:

    1. Farai Jena & Barry Reilly, 2022. "Are spectator preferences weaker for cup compared to league competitions? Evidence from Irish soccer," Applied Economics Letters, Taylor & Francis Journals, vol. 29(9), pages 835-841, May.
    2. Damrongsak Rinchumphu & Chris Eves & Connie Susilawati, 2013. "Brand Value of Property in Bangkok Metropolitan Region (BMR), Thailand," International Real Estate Review, Global Social Science Institute, vol. 16(3), pages 296-322.

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