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An Asymptotic Test For The Detection Of Heteroskedasticity

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  • Mehmet Yuce

    (Yeditepe University)

Abstract

An asymptotic test for heteroskedasticity has been developed. The test does not rely on any assumption about heteroskedasticity, and introduces two alternative statistics based on the same idea. Power of these two alternative test statistics has been measured by Monte Carlo simulations. For large samples they performed fairly well, whereas for sample sizes ≤ 100, their power was influenced by the structure of the heteroskedasticity.

Suggested Citation

  • Mehmet Yuce, 2008. "An Asymptotic Test For The Detection Of Heteroskedasticity," Istanbul University Econometrics and Statistics e-Journal, Department of Econometrics, Faculty of Economics, Istanbul University, vol. 8(1), pages 33-44, December.
    • Handle: RePEc:ist:ancoec:v:8:y:2008:i:1:p:33-44
    as

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    File URL: http://eidergisi.istanbul.edu.tr/sayi8/iueis8m2.pdf
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    References listed on IDEAS

    as
    1. Breusch, T S & Pagan, A R, 1979. "A Simple Test for Heteroscedasticity and Random Coefficient Variation," Econometrica, Econometric Society, vol. 47(5), pages 1287-1294, September.
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    More about this item

    Keywords

    Heteroskedasticity; large sample test; regression analysis; violations from the assumptions of classical linear regression model; residual analysis; asymptotic properties; Monte Carlo simulations; the power of the test;
    All these keywords.

    JEL classification:

    • C00 - Mathematical and Quantitative Methods - - General - - - General
    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C19 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Other

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