A note on studentizing a test for heteroscedasticity

Roger W Koenker

Research output: Contribution to journalArticle

Abstract

Breusch and Pagan (1979) have recently proposed a convenient test for heteroscedasticity in general linear models. This note derives the asymptotic distribution of their test under sequences of contiguous alternatives to the null hypothesis of homoscedasticity. The test is shown to possess asymptotically incorrect size (nominal significance level) except in the case of strictly Gaussian disturbances. A slight modification of the test is proposed which corrects this defect.

Original languageEnglish (US)
Pages (from-to)107-112
Number of pages6
JournalJournal of Econometrics
Volume17
Issue number1
DOIs
StatePublished - Sep 1981

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Heteroscedasticity
Defects
Contiguous Alternatives
Homoscedasticity
Significance level
Null hypothesis
Asymptotic distribution
Categorical or nominal
Linear Model
Strictly
Disturbance

ASJC Scopus subject areas

  • Economics and Econometrics

Cite this

A note on studentizing a test for heteroscedasticity. / Koenker, Roger W.

In: Journal of Econometrics, Vol. 17, No. 1, 09.1981, p. 107-112.

Research output: Contribution to journalArticle

Koenker, Roger W. / A note on studentizing a test for heteroscedasticity. In: Journal of Econometrics. 1981 ; Vol. 17, No. 1. pp. 107-112.
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