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Informational Criteria for the Homoscedasticity of Errors

Author

Listed:
  • Ciuiu, Daniel

    (Technical University of Civil Engineering, Bucharest; Associate Researcher, Romanian Institute of Economic Forecasting, Romanian Academy.)

Abstract

In this paper we will test the homoscedasticity of errors using the Goldfeld-Quandt test and we will classify the points using the explanatory variable by which we sort them. We will also use the Hartley test for the equality of the class error variances (if we have at least two classes). For all the points (only one class) and all the possible classifications for which we have homoscedasticity we will compute some informational criteria like Akaike ( AIC=Akaike Informational Criterion) and Schwartz ( BIC=Bayes Informational Criterion). Of course, from these classifications we will choose that classification with the minimum of the considered criterion. As application, we have monthly data from November 1990 to November 2008 concerning the price indexes for services, the price indexes for food and for the price indexes of non-food goods.

Suggested Citation

  • Ciuiu, Daniel, 2010. "Informational Criteria for the Homoscedasticity of Errors," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 231-244, July.
    • Handle: RePEc:rjr:romjef:v::y:2010:i:2:p:231-244
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    File URL: http://www.ipe.ro/rjef/rjef2_10/rjef2_10_15.pdf
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    References listed on IDEAS

    as
    1. Ciuiu, Daniel, 2008. "Pattern classification using polynomial and linear regression," MPRA Paper 15355, University Library of Munich, Germany.
    2. Ciuiu, Daniel, 2008. "Pattern classification using principal components regression," MPRA Paper 15360, University Library of Munich, Germany.
    3. Ciuiu, Daniel, 2008. "Pattern Classification Using Secondary Components Perceptron and Economic Applications," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 5(2), pages 51-66, June.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Ciuiu, Daniel, 2011. "Bayes multivariate signification tests and Granger causality," MPRA Paper 48945, University Library of Munich, Germany, revised 01 Oct 2011.

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    More about this item

    Keywords

    homoscedasticity; classification; informational criteria; price indexes;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • L16 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Industrial Organization and Macroeconomics; Macroeconomic Industrial Structure

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