An omnibus test for heteroskedasticity

Tests for heteroskedasticity in the classical linear regression framework typically require the researcher to specify the form of variance heterogeneity. This paper proposes a simulation-based test with power to detect unspecified forms of heteroskedasticity.

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Year of publication:	2010
Authors:	Luger, Richard
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 106.2010, 1, p. 22-24
Publisher:	Elsevier
Keywords:	Linear regression Heteroscedasticity Exact test Monte Carlo test

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008474020