A Simulation Study of White's Test for Heteroskedasticity in Fixed and Stochastic Regression Models

DOI10.1080/03610910701883809zbMath1160.62335OpenAlexW2005435181MaRDI QIDQ3625314

Jiro Hodoshima, Masakazu Ando

Publication date: 12 May 2009

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610910701883809

zbMATH Keywords

tablesbootstrapunbiasednessasymmetric distributionmonotonicity of power

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05)

Related Items

Rejection rates of bootstrapped and exact heteroskedasticity tests in response to skedastic function and normal or skewed disturbances

Cites Work

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• The Finite-Sample Performance of White's Test for Heteroskedasticity Under Stochastic Regressors