Tests for additive heteroskedasticity: Goldfeld and Quandt revisited

A number of new tests for heteroskedasticity have recently become available. Using Monte Carlo methods this paper explores the small sample properties of some of these tests in the context of additive heteroskedasticity. Lagrange multiplier and Wald tests (and variants thereof) are found to be inferior to the likelihood ratio and Goldfeld and QuandtF tests. This is a reconfirmation of the conclusions obtained byGoldfeld/Quandt 1972] in their study of additive heteroskedasticity. The paper also contains some new results onAmemiya's GLS estimator of the additive heteroskedastic structure.