A further class of tests for heteroscedasticity

Merran A. Evans, Maxwell L. King

Research output: Contribution to journalArticleResearchpeer-review

14 Citations (Scopus)


This paper considers the problem of testing for heteroscedasticity in the linear regression model when one is willing to postulate only the ranking of the disturbance variances under the alternative hypothesis. A new class of tests is proposed and methods of finding the tests' critical values are discussed. An empirical power comparison with other tests that have found favor in the literature demonstrates the potential power advantage of these new tests and results in particular versions being recommended for practical use.

Original languageEnglish
Pages (from-to)265-276
Number of pages12
JournalJournal of Econometrics
Issue number2
Publication statusPublished - Feb 1988

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