Publication
Heteroskedasticity testing through a comparison of Wald statistics
| dc.contributor.author | Murteira, José M.R. | |
| dc.contributor.author | Ramalho, Esmeralda A. | |
| dc.contributor.author | Ramalho, Joaquim J.S. | |
| dc.date.accessioned | 2018-06-25T09:39:01Z | |
| dc.date.available | 2018-06-25T09:39:01Z | |
| dc.date.issued | 2013-08 | |
| dc.description.abstract | 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. | pt_PT |
| dc.description.version | info:eu-repo/semantics/publishedVersion | pt_PT |
| dc.identifier.citation | 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 | pt_PT |
| dc.identifier.doi | 10.1007/s10258-013-0087-x | pt_PT |
| dc.identifier.issn | 1617-982X (print) | |
| dc.identifier.issn | 1617-9838 (online) | |
| dc.identifier.uri | http://hdl.handle.net/10400.5/15703 | |
| dc.language.iso | eng | pt_PT |
| dc.peerreviewed | yes | pt_PT |
| dc.publisher | Springer Verlag | pt_PT |
| dc.subject | Heteroskedasticity testing | pt_PT |
| dc.subject | White test | pt_PT |
| dc.subject | Wald test | pt_PT |
| dc.subject | Supremum | pt_PT |
| dc.title | Heteroskedasticity testing through a comparison of Wald statistics | pt_PT |
| dc.type | journal article | |
| dspace.entity.type | Publication | |
| oaire.citation.conferencePlace | Lisboa | pt_PT |
| oaire.citation.endPage | 160 | pt_PT |
| oaire.citation.issue | 2 | pt_PT |
| oaire.citation.startPage | 131 | pt_PT |
| oaire.citation.title | Portuguese Economic Journal | pt_PT |
| oaire.citation.volume | 12 | pt_PT |
| rcaap.rights | closedAccess | pt_PT |
| rcaap.type | article | pt_PT |