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A suggestion for measuring heteroskedasticity |
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| Authors: | Peter E Kennedy |
| Institution: | Economics Department , Simon Fraser University , Burnaby, B.C, V5A 1S6, Canada |
| Abstract: | The lack of a generally-accepted measure of the degree of severity of heteroskedasticity is shown to have caused some Monte Carlo studies to draw misleading conclusions. An attractive measure of heteroskedasticity is suggested. |
| Keywords: | Monte Carlo coefficient of variation |