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AN ASYMPTOTIC TEST FOR THE DETECTION OF HETEROSKEDASTICITY

Year 2008, Volume 0, 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, Volume 0, 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
Subjects Social
Journal Section Makaleler
Authors

Mehmet YÜCE This is me

Publication Date September 5, 2011
Published in Issue Year 2008, Volume 0, Issue 8

Cite

Bibtex @research article { iuekois112070, journal = {Istanbul University Econometrics and Statistics e-Journal}, eissn = {1308-7215}, address = {}, publisher = {Istanbul University}, year = {2011}, volume = {0}, number = {8}, pages = {33 - 44}, 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 - MehmetYüce 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 - 2022 ER -
EndNote %0 Istanbul University Econometrics and Statistics e-Journal 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