Some Tests for Homoscedasticity
作者:
StephenM. Goldfeld,
RichardE. Quandt,
期刊:
Journal of the American Statistical Association
(Taylor Available online 1965)
卷期:
Volume 60,
issue 310
页码: 539-547
ISSN:0162-1459
年代: 1965
DOI:10.1080/01621459.1965.10480811
出版商: Taylor & Francis Group
数据来源: Taylor
摘要:
Two exact tests are presented for testing the hypothesis that the residuals from a least squares regression are homoscedastic. The results can be used to test the hypothesis that a linear [ratio] model explains the relationship between variables as opposed to the alternative that the ratio [linear] specification is correct. The first test is parametric and uses theF-statistic. The second test is nonparametric and uses the number of peaks in the ordered sequence of unsigned residuals. In conclusion, the results of some experimental calculations of the powers of the tests are discussed.
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