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AN ASYMPTOTIC TEST FOR THE DETECTION OF HETEROSKEDASTICITY

Journal Name:

  • İstanbul Üniversitesi Ekonometri ve İstatistik Dergisi

Publication Year:

  • 2008

Key Words:

Keywords (Original Language):

Author NameUniversity of Author
Abstract (2. Language): 
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
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Abstract (Original Language): 
Bu makalede heteroskedastisiteye (değişen varyans) yönelik asimptotik bir test geliştirilmiştir. Test, herhangi bir heteroskedastisite varsayımına dayanmamaktadır ve aynı düşünceye dayanan iki alternatif istatistik sunmaktadır. Bu iki test istatistiğinin güçleri Monte Carlo simülasyonları ile ölçülmüştür. Büyük örneklemler için oldukça iyi performansları olamsına karşın 100’den küçük örneklem büyüklüğü için testin gücü heteroskedastisitenin yapısından etkilenmektedir.
FULL TEXT (PDF): 
PDF icon arastirmax-asymptotic-test-detection-heteroskedasticity.pdf
  • 8
33-44
  • Turkish

JEL Codes:

REFERENCES

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