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

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

—

OECD FORD obor

10103 - Statistics and probability

Projekt

—

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2017

Kód důvěrnosti údajů

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

Název statě ve sborníku

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

ISBN

978-0-7354-1538-6

ISSN

—

e-ISSN

neuvedeno

Počet stran výsledku

4

Strana od-do

&quot;nestrankovano&quot;

Název nakladatele

American Institute of Physics (AIP)

Místo vydání

Melville

Místo konání akce

Rhodos

Datum konání akce

19. 9. 2016

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

000410159800126