Year 2008, Volume 0 , Issue 8, Pages 33 - 44 2011-09-05

AN ASYMPTOTIC TEST FOR THE DETECTION OF HETEROSKEDASTICITY
AN ASYMPTOTIC TEST FOR THE DETECTION OF HETEROSKEDASTICITY

Mehmet YÜCE [1]


Bu makalede heteroskedastisiteye (değişen varyans) yönelik asimptotik bir test geliştirilmiştir. Test, herhangi bir heteroskedastisite varsayımına dayanmamaktadır ve aynı düşünceye dayanan iki alternatif istatistik sunmaktadır. Bu iki test istatistiğinin güçleri Monte Carlo simülasyonları ile ölçülmüştür. Büyük örneklemler için oldukça iyi performansları olamsına karşın 100’den küçük örneklem büyüklüğü için testin gücü heteroskedastisitenin yapısından etkilenmektedir.

An asymptotic test for heteroskedasticity has been developed. The test does not rely on any assumption about heteroskedasticity, and introduces two alternative statistics based on the same idea. Power of these two alternative test statistics has been measured by Monte Carlo simulations. For large samples they performed fairly well, whereas for sample sizes ≤ 100, their power was influenced by the structure of the heteroskedasticity

Primary Language en
Subjects Social
Journal Section Makaleler
Authors

Author: Mehmet YÜCE

Dates

Publication Date : September 5, 2011

Bibtex @research article { iuekois112070, journal = {Istanbul University Econometrics and Statistics e-Journal}, issn = {}, eissn = {1308-7215}, address = {}, publisher = {Istanbul University}, year = {2011}, volume = {0}, pages = {33 - 44}, doi = {}, title = {AN ASYMPTOTIC TEST FOR THE DETECTION OF HETEROSKEDASTICITY}, key = {cite}, author = {Yüce, Mehmet} }
APA Yüce, M . (2011). AN ASYMPTOTIC TEST FOR THE DETECTION OF HETEROSKEDASTICITY . Istanbul University Econometrics and Statistics e-Journal , 0 (8) , 33-44 . Retrieved from https://dergipark.org.tr/en/pub/iuekois/issue/8989/112070
MLA Yüce, M . "AN ASYMPTOTIC TEST FOR THE DETECTION OF HETEROSKEDASTICITY" . Istanbul University Econometrics and Statistics e-Journal 0 (2011 ): 33-44 <https://dergipark.org.tr/en/pub/iuekois/issue/8989/112070>
Chicago Yüce, M . "AN ASYMPTOTIC TEST FOR THE DETECTION OF HETEROSKEDASTICITY". Istanbul University Econometrics and Statistics e-Journal 0 (2011 ): 33-44
RIS TY - JOUR T1 - AN ASYMPTOTIC TEST FOR THE DETECTION OF HETEROSKEDASTICITY AU - Mehmet Yüce Y1 - 2011 PY - 2011 N1 - DO - T2 - Istanbul University Econometrics and Statistics e-Journal JF - Journal JO - JOR SP - 33 EP - 44 VL - 0 IS - 8 SN - -1308-7215 M3 - UR - Y2 - 2021 ER -
EndNote %0 Ekonometri ve İstatistik e-Dergisi AN ASYMPTOTIC TEST FOR THE DETECTION OF HETEROSKEDASTICITY %A Mehmet Yüce %T AN ASYMPTOTIC TEST FOR THE DETECTION OF HETEROSKEDASTICITY %D 2011 %J Istanbul University Econometrics and Statistics e-Journal %P -1308-7215 %V 0 %N 8 %R %U
ISNAD Yüce, Mehmet . "AN ASYMPTOTIC TEST FOR THE DETECTION OF HETEROSKEDASTICITY". Istanbul University Econometrics and Statistics e-Journal 0 / 8 (September 2011): 33-44 .
AMA Yüce M . AN ASYMPTOTIC TEST FOR THE DETECTION OF HETEROSKEDASTICITY. Istanbul University Econometrics and Statistics e-Journal. 2011; 0(8): 33-44.
Vancouver Yüce M . AN ASYMPTOTIC TEST FOR THE DETECTION OF HETEROSKEDASTICITY. Istanbul University Econometrics and Statistics e-Journal. 2011; 0(8): 33-44.
IEEE M. Yüce , "AN ASYMPTOTIC TEST FOR THE DETECTION OF HETEROSKEDASTICITY", Istanbul University Econometrics and Statistics e-Journal, vol. 0, no. 8, pp. 33-44, Sep. 2011