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The Laplace Likelihood Ratio Test for Heteroscedasticity

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  • J. Martin van Zyl

Abstract

It is shown that the likelihood ratio test for heteroscedasticity, assuming the Laplace distribution, gives good results for Gaussian and fat-tailed data. The likelihood ratio test, assuming normality, is very sensitive to any deviation from normality, especially when the observations are from a distribution with fat tails. Such a likelihood test can also be used as a robust test for a constant variance in residuals or a time series if the data is partitioned into groups.

Suggested Citation

  • J. Martin van Zyl, 2011. "The Laplace Likelihood Ratio Test for Heteroscedasticity," International Journal of Mathematics and Mathematical Sciences, Hindawi, vol. 2011, pages 1-7, June.
    • Handle: RePEc:hin:jijmms:249564
    DOI: 10.1155/2011/249564
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