Power of heteroskedasticity tests in presence of various types of skedastic function and sample size

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43110%2F17%3A43911599" target="_blank" >RIV/62156489:43110/17:43911599 - isvavai.cz</a>

Result on the web

<a href="http://doi.org/10.1063/1.4992278" target="_blank" >http://doi.org/10.1063/1.4992278</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1063/1.4992278" target="_blank" >10.1063/1.4992278</a>

Result language

angličtina

Original language name

Power of heteroskedasticity tests in presence of various types of skedastic function and sample size

Original language description

This paper presents evidence from Monte Carlo simulation aimed at exploring power of heteroskedasticity tests to verify presence of various patterns of non-constant variances in linear models. Three independent MC simulations were set up to investigate impact of error term variance changing with power of the proportionality factor (schemes 1 and 2) or in response to variance multiplication constant applied to a subset of data (scheme 3). Empirical power was shown to vary in accordance with the simulated form of the skedastic function and sample size. Tests mainly showed adequate power for the skedastic function in scheme 1 and to a lesser extent for variance function in scheme 3. On the other hand, skedastic functions simulated in scheme 2 were the most difficult to detect by most heteroskedasticity tests.

Czech name

—

Czech description

—

Type

D - Article in proceedings

CEP classification

—

OECD FORD branch

10103 - Statistics and probability

Project

—

Continuities

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2017

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection

Proceedings of the International Conference on Numerical Analysis and Applied Mathematics 2016 (ICNAAM 2016)

ISBN

978-0-7354-1538-6

ISSN

—

e-ISSN

neuvedeno

Number of pages

4

Pages from-to

&quot;nestrankovano&quot;

Publisher name

American Institute of Physics (AIP)

Place of publication

Melville

Event location

Rhodos

Event date

Sep 19, 2016

Type of event by nationality

WRD - Celosvětová akce

UT code for WoS article

000410159800126