Monte Carlo power comparison of seven most commonly used heteroscedasticity tests
Author:
Affiliation:
1. School of Economics and Business, Atma Jaya Catholic University of Indonesia, Jakarta, Indonesia
Publisher
Informa UK Limited
Subject
Modeling and Simulation,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/03610918.2019.1692031
Reference24 articles.
1. A study of several new and existing tests for heteroscedasticity in the general linear model
2. A Simple Test for Heteroscedasticity and Random Coefficient Variation
3. Diagnostics for heteroscedasticity in regression
4. Simulation-based finite-sample tests for heteroskedasticity and ARCH effects
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