Testing for heteroscedasticity occuring at unknown points |
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Authors: | B.P.M. McCabe |
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Affiliation: | University of Leeds , LEEDS LS2 9JT, England |
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Abstract: | This paper considers procedures for the detection of heteroscedasticity when it occurs at unknown points. First the number of points is assumed known apriori and then this assumption is relaxed so that both the position and the number of possible aberrant observations is unknown. Monte Carlo evidence is provided on the performance of both tests and they are found to perform reasonably. |
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Keywords: | most powerful tests outliers spacings |
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