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 language | English (US) |
|---|---|
| Pages (from-to) | 107-112 |
| Number of pages | 6 |
| Journal | Journal of Econometrics |
| Volume | 17 |
| Issue number | 1 |
| DOIs | |
| State | Published - Sep 1981 |
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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 journal › Article
}
TY - JOUR
T1 - A note on studentizing a test for heteroscedasticity
AU - Koenker, Roger W
PY - 1981/9
Y1 - 1981/9
N2 - 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.
AB - 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.
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UR - http://www.scopus.com/inward/citedby.url?scp=0001217588&partnerID=8YFLogxK
U2 - 10.1016/0304-4076(81)90062-2
DO - 10.1016/0304-4076(81)90062-2
M3 - Article
AN - SCOPUS:0001217588
VL - 17
SP - 107
EP - 112
JO - Journal of Econometrics
JF - Journal of Econometrics
SN - 0304-4076
IS - 1
ER -