The Finite-Sample Performance of White's Test for Heteroskedasticity Under Stochastic Regressors |
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| Authors: | Jiro Hodoshima Masakazu Ando |
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| Institution: | 1. Graduate School of Economics, Nagoya City University , Nagoya, Japan hodoshi@econ.nagoya-cu.ac.jp;3. Graduate School of Economics, Nagoya City University , Nagoya, Japan |
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| Abstract: | We study the finite-sample properties of White's test for heteroskedasticity in stochastic regression models where explanatory variables are random and not given. We investigate by simulation the effect of non independence of explanatory variables and error term and heteroskedasticity on White's test. A standard bootstrap method in the computationally convenient form is found to work well with respect to the size and power. |
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| Keywords: | Heteroskedasticity Non independence of explanatory variables and error term White's test |
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