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An Asymptotic Test For The Detection Of Heteroskedasticity

Publication Year:

  • 2008

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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 düsünceye dayanan iki alternatif istatistik sunmaktadır. Bu iki test istatistiğinin güçleri Monte Carlo simülasyonları ile ölçülmüştür. Büyük örneklemler için oldukça iyi performansları olmasına karsın 100’den küçük örneklem büyüklüğü için testin gücü heteroskedastisitenin yapısından etkilenmektedir.
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  • 8
33-44
  • English

REFERENCES

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