A comparison of the power of some tests for heteroskedasticity in the general linear model |
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Authors: | AC Harvey GDA Phillips |
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Institution: | University of Kent, Canterbury, England |
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Abstract: | An exact parametric test against heteroskedasticity in the general linear model is proposed. Its power is compared with that of the test proposed by Goldfeld and Quandt and with the BLUS test. Under a variety of circumstances all three tests are found to be of compare power.The proposed test is similar to the BLUS test but is based on easily computed recursive residuals and it is believed that the flexibility and computational simplicity of the new test makes it attractive as a practical procedure. |
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