TY  - JOUR
TT  - A MONTE CARLO COMPARISON OF LIKELIHOOD BASED CONSTRUCTIVE HETEROSCEDASTICITY TESTS FOR THE MARKET MODEL
AU  - Kardiyen, FİLİZ
AU  - Akdeniz, ESRA
AU  - Yiğit, ESRA
PY  - 2011
DA  - December
JF  - Dokuz Eylül Üniversitesi İktisadi İdari Bilimler Fakültesi Dergisi
PB  - Dokuz Eylül Üniversitesi
WT  - DergiPark
SN  - 1302-504X
SP  - 135
EP  - 144
VL  - 26
IS  - 2
KW  - Artık Olabilirlik Oran Testi
KW  - Bartlett-Düzeltilmiş Olabilirlik Oran Testi
KW  - Genel Olabilirlik Oran Testi
KW  - Heterojen Varyans
KW  - Koşullu Olabilirlik Oran Testi
KW  - Piyasa Modeli
KW  - Profil Olabilirlik Oran Testi
KW  - Uyarlanmış Olabilirlik Oran Testi
N2  - The market model of Sharpe when applied to European, U.S.A. and Japan stock markets usually results with heteroscedastic error structure. Since heteroscedasticity in error terms cause inefficient parameter estimation, it should be tested before data analysis. The objective of this paper is to present five widely used likelihood based constructive heteroscedasticity tests which are  the ordinary likelihood ratio test, the conditional likelihood ratio test, the corrected modified likelihood ratio test, the modified likelihood ratio test, the profile likelihood ratio test and the residual likelihood ratio test. Also simulation study is performed to compare these tests.
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UR  - https://dergipark.org.tr/tr/pub/deuiibfd/article/243136
L1  - https://dergipark.org.tr/tr/download/article-file/211538
ER  -