A Monte Carlo evaluation of the power of some tests for heteroscedasticity

Abstract

Szroeter's asymptotically normal test outperforms the Goldfeld-Qu2ndt test, the Breusch-Pagan Lagrange multiplier test and BAMSET, when it is possible to order the observations according to increasing variance. With no prior information on variance ordering, BAMSET is best. Some observations concerning degree of heteroscedasticity and model specification are made. © 1986.