Rejection rates of bootstrapped and exact heteroskedasticity tests in response to skedastic function and normal or skewed disturbances
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43110%2F23%3A43919827" target="_blank" >RIV/62156489:43110/23:43919827 - isvavai.cz</a>
Result on the web
<a href="https://doi.org/10.1080/03610918.2021.1915335" target="_blank" >https://doi.org/10.1080/03610918.2021.1915335</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1080/03610918.2021.1915335" target="_blank" >10.1080/03610918.2021.1915335</a>
Alternative languages
Result language
angličtina
Original language name
Rejection rates of bootstrapped and exact heteroskedasticity tests in response to skedastic function and normal or skewed disturbances
Original language description
This study focuses on examining the power of bootstrapped and exact tests to detect variance heterogeneity in linear models via Monte Carlo. Three independent MC schemes were set up corresponding to distinct forms of heteroskedasticity, degree of heteroskedasticity and with or without normality. The tests produced unequal power in the simulated combinations; some performed poorly, when exposed to the unusual type of heteroskedasticity from the point of the test. The Bamset LR test had adequate power for most skedastic functions and should be extensively used. Park's test had inadequate power in most scenarios. The power of White's test varied strongly depending on the skedastic function. The bootstrapped tests had generally lower power and were often oversized, although the only resampled Harrison and McCabe test had outstanding power in several MC schemes. Reduced power and increased Type I Error Rates were noticed in most exact or resampled tests with skewed disturbances.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
10103 - Statistics and probability
Result continuities
Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2023
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Communications in Statistics. Simulation and Computation
ISSN
0361-0918
e-ISSN
1532-4141
Volume of the periodical
52
Issue of the periodical within the volume
6
Country of publishing house
US - UNITED STATES
Number of pages
16
Pages from-to
2765-2780
UT code for WoS article
000648049500001
EID of the result in the Scopus database
2-s2.0-85105457947