A Simulation Study of White's Test for Heteroskedasticity in Fixed and Stochastic Regression Models |
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| Authors: | Jiro Hodoshima Masakazu Ando |
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| Affiliation: | 1. Graduate School of Economics, Nagoya City University , Nagoya, Japan hodoshi@econ.nagoya-cu.ac.jp;3. The Institute of Mathematical Statistics , Tokyo, Japan |
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| Abstract: | We study the finite-sample properties of White's test for heteroskedasticity in fixed and stochastic regression models. We compare by simulation White and bootstrap methods when the underlying distribution is symmetric as well as asymmetric. The superior performance of the bootstrap method in small samples does not hold when the underlying distribution is asymmetric. |
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| Keywords: | Asymmetric distribution Bootstrap Monotonicity of power Unbiasedness |
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