The robustness, reliabiligy and power of heteroskedasticity tests |
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Authors: | L G Godfrey C D Orme |
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Institution: |
a Department of Economics and Related Studies, University of York, York, United Kingdom
b School of Economic Studies, University of Manchester, Manchester, United Kingdom |
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Abstract: | Several tests for heteroskedasticity in linear regression models are examined. Asymptoticrobustness to heterokurticity, nonnormality and skewness is discussed. The finite sample eliability of asymptotically valid tests is investigated using Monte Carlo experiments. It is found that asymptotic critical values cannot, in general. be relied upon to give good agreement between nominal and actual finite sample significance levels. The use of the bootstrap overcomes this problem for general approaches that lead to asymptotically pivotal test statistics. Power comparisons are made for bootstrap tests and modified Glejser and Koenker tests are recommended. |
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Keywords: | heteroskedasticity robustness nonnormality bootstrap JEL Classification:C12 C52 |
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