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

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