Research Article
BibTex RIS Cite

AN ASYMPTOTIC TEST FOR THE DETECTION OF HETEROSKEDASTICITY

Year 2008, Issue: 8, 33 - 44, 05.09.2011

Abstract

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

AN ASYMPTOTIC TEST FOR THE DETECTION OF HETEROSKEDASTICITY

Year 2008, Issue: 8, 33 - 44, 05.09.2011

Abstract

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.

Details

Primary Language English
Journal Section Makaleler
Authors

Mehmet YÜCE This is me

Publication Date September 5, 2011
Published in Issue Year 2008 Issue: 8

Cite

APA YÜCE, M. (2011). AN ASYMPTOTIC TEST FOR THE DETECTION OF HETEROSKEDASTICITY. Istanbul University Econometrics and Statistics E-Journal(8), 33-44.
AMA YÜCE M. AN ASYMPTOTIC TEST FOR THE DETECTION OF HETEROSKEDASTICITY. Istanbul University Econometrics and Statistics e-Journal. September 2011;(8):33-44.
Chicago YÜCE, Mehmet. “AN ASYMPTOTIC TEST FOR THE DETECTION OF HETEROSKEDASTICITY”. Istanbul University Econometrics and Statistics E-Journal, no. 8 (September 2011): 33-44.
EndNote YÜCE M (September 1, 2011) AN ASYMPTOTIC TEST FOR THE DETECTION OF HETEROSKEDASTICITY. Istanbul University Econometrics and Statistics e-Journal 8 33–44.
IEEE M. YÜCE, “AN ASYMPTOTIC TEST FOR THE DETECTION OF HETEROSKEDASTICITY”, Istanbul University Econometrics and Statistics e-Journal, no. 8, pp. 33–44, September 2011.
ISNAD YÜCE, Mehmet. “AN ASYMPTOTIC TEST FOR THE DETECTION OF HETEROSKEDASTICITY”. Istanbul University Econometrics and Statistics e-Journal 8 (September 2011), 33-44.
JAMA YÜCE M. AN ASYMPTOTIC TEST FOR THE DETECTION OF HETEROSKEDASTICITY. Istanbul University Econometrics and Statistics e-Journal. 2011;:33–44.
MLA YÜCE, Mehmet. “AN ASYMPTOTIC TEST FOR THE DETECTION OF HETEROSKEDASTICITY”. Istanbul University Econometrics and Statistics E-Journal, no. 8, 2011, pp. 33-44.
Vancouver YÜCE M. AN ASYMPTOTIC TEST FOR THE DETECTION OF HETEROSKEDASTICITY. Istanbul University Econometrics and Statistics e-Journal. 2011(8):33-44.