The finite-sample performance of White's test for heteroskedasticity under stochastic regressors

被引：5

作者：

Hodoshima, Jiro ^{[1
]}

Ando, Masakazu ^{[1
]}

机构：

[1] Nagoya City Univ, Grad Sch Econ, Mizuho Ku, Nagoya, Aichi 4678501, Japan

来源：

COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION | 2007年 / 36卷 / 06期

关键词：

heteroskedasticity; non independence of explanatory variables and error term; White's test;

D O I：

10.1080/03610910701569499

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We study the finite-sample properties of White's test for heteroskedasticity in stochastic regression models where explanatory variables are random and not given. We investigate by simulation the effect of non independence of explanatory variables and error term and heteroskedasticity on White's test. A standard bootstrap method in the computationally convenient form is found to work well with respect to the size and power.

引用

页码：1201 / 1215

页数：15

共 50 条

[1] FINITE-SAMPLE BEHAVIOR OF TESTS FOR GROUPED HETEROSKEDASTICITY
BINKLEY, JK
REVIEW OF ECONOMICS AND STATISTICS, 1992, 74 (03) : 563 - 568
[2] THE FINITE-SAMPLE DISTRIBUTIONS OF HETEROSKEDASTICITY ROBUST WALD STATISTICS
CHESHER, A
AUSTIN, G
JOURNAL OF ECONOMETRICS, 1991, 47 (01) : 153 - 173
[3] Finite-sample refinement of GMM approach to nonlinear models under heteroskedasticity of unknown form
Lin, Eric S.
Chou, Ta-Sheng
ECONOMETRIC REVIEWS, 2018, 37 (01) : 1 - 28
[4] Simulation-based finite-sample tests for heteroskedasticity and ARCH effects
Dufour, JM
Khalaf, L
Bernard, JT
Genest, I
JOURNAL OF ECONOMETRICS, 2004, 122 (02) : 317 - 347
[5] A new test for ARCH effects and its finite-sample performance
Hong, YM
Shehadeh, RD
JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 1999, 17 (01) : 91 - 108
[6] Finite-sample performance guarantees for one-dimensional stochastic root finding
Ehrlichman, Samuel M. T.
Henderson, Shane G.
PROCEEDINGS OF THE 2007 WINTER SIMULATION CONFERENCE, VOLS 1-5, 2007, : 301 - 309
[7] FINITE-SAMPLE PERFORMANCE OF DENSITY ESTIMATORS UNDER MOVING AVERAGE DEPENDENCE
WAND, MP
STATISTICS & PROBABILITY LETTERS, 1992, 13 (02) : 109 - 115
[8] Some finite-sample results on the Hausman test
Hahn, Jinyong
Liao, Zhipeng
Liu, Nan
Sheng, Shuyang
ECONOMICS LETTERS, 2024, 238
[9] Multisensor fusion under unknown distributions finite-sample performance guarantees
Rao, NSV
MULTISENSOR FUSION, 2002, 70 : 295 - 329
[10] THE FOUNDATIONS OF FINITE-SAMPLE ESTIMATION IN STOCHASTIC-PROCESSES
GODAMBE, VP
BIOMETRIKA, 1985, 72 (02) : 419 - 428

← 1 2 3 4 5 →