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Heteroskedasticity testing through a comparison of Wald statistics
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Orientador(es)
Resumo(s)
This paper shows that a test for heteroskedasticity within the context of classical linear regression can be based on the difference between Wald statistics in heteroskedasticity-robust and nonrobust forms. The test is asymptotically distributed under the null hypothesis of homoskedasticity as chi-squared with one degree of freedom. The power of the test is sensitive to the choice of parametric restriction used by the Wald statistics, so the supremum of a range of individual test statistics is proposed. Two versions of a supremum-based test are considered: the first version does not have a known asymptotic null distribution, so the bootstrap is employed to approximate its empirical distribution. The second version has a known asymptotic distribution and, in some cases, is asymptotically pivotal under the null. A simulation study illustrates the use and finite-sample performance of both versions of the test. In this study, the bootstrap is found to provide better size control than asymptotic critical values, namely with heavy-tailed, asymmetric distributions of the covariates. In addition, the use of well-known modifications of the heteroskedasticity consistent covariance matrix estimator of OLS coefficients is also found to benefit the tests’ overall behaviour.
Descrição
Palavras-chave
Heteroskedasticity testing White test Wald test Supremum
Contexto Educativo
Citação
Murteira, José M.R.; Esmeralda A. Ramalho and Joaquim J.S. Ramalho (2013). "Heteroskedasticity testing through a comparison of Wald statistics". Portuguese Economic Journal, Vol. 12, No. 2: pp. 131-160
Editora
Springer Verlag