The Review of Economics and Statistics Vol. 74 No. 3 1992
Finite Sample Behavior of Tests for Grouped Heteroskedasticity
Abstract
When the regression error variance is constant within subsets of data but differs across the subsets, grouped heteroskedasticity exists. Most tests for grouped heteroskedasticity are based on an asymptotic chi squared variable, and how well they perform in small samples is unknown. In this stud y, the performance of several of these, along with Breusch-Pagan tests, is examined using Monte Carlo methods. Generally, it is found that the tests that tend to be the easiest to apply and use the fewest assumptions are at least as good as somewhat more elaborate procedures.
- DOI
- 10.2307/2109504
- Volume
- 74
- Issue
- 3
- Pages
- 563
- Sources
- crossref openalex