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Nota técnica 2: An equal Variance Test

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  • George G.Djolov

Abstract

This article introduces (and hopes to encourage thereby) the econometrics practitioner to (use) a homoscedasticity test referred to in the field of statistics as the modified Levene test. Econometrics orthodoxy (from University to practice level) has focused mainly on three heteroscedasticity tests, namely the Goldfeld-Quandt (GQ), Breusch-Pagan-Godfrey (BPG), and the White (W) test. The difference between the aforementioned tests and the test elaborated on in this article is that the former are for regression whereas the latter is for ANOVA –analysis of variance– situations.

Suggested Citation

  • George G.Djolov, 2002. "Nota técnica 2: An equal Variance Test," Estudios de Economia, University of Chile, Department of Economics, vol. 29(2 Year 20), pages 327-339, December.
    • Handle: RePEc:udc:esteco:v:29:y:2002:i:2:p:327-339
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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.
    2. Godfrey, Leslie G., 1978. "Testing for multiplicative heteroskedasticity," Journal of Econometrics, Elsevier, vol. 8(2), pages 227-236, October.
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    More about this item

    Keywords

    Levene Test; modified Levene Test.;

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General

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