Alternative tests for heteroscedasticity of disturbances:a comparative study |
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| Authors: | K Rao Kadiyala H Dennis Oberhelman |
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| Institution: | 1. Krannert Graduate School of Management , Purdue University, IN, 47907, West Lafayette;2. College of Business Administration , University of South Carolina, Columbia, 29208, Columbia |
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| Abstract: | This paper presents three small sample tests for testing the heteroscedasticity among regression disturbances. The power of these tests are compared with two of the leading tests for this hypothesis, one by Goldfeld and Quandt 5] and the other by Theil 17]. We also provide a heuristic method of selecting the number of middle observations to be deleted for the Goldfeld-Quandt type of tests. |
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| Keywords: | linear regression disturbances heteroscedasticity Blus residuals |
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