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A wide range of tests for heteroskedasticity have been proposed in the econometric and statistics literature. Although a few exact homoskedasticity tests are available, the commonly employed procedures are quite generally based on asymptotic approximations which may not provide good size control in finite samples. There has been a number of recent studies(More)
A wide range of tests for heteroskedasticity have been proposed in econometrics and statistics.1 Although a few exact tests are available (e.g. Goldfeld-Quandt’s F -test, its extensions and Szroeter’s procedures),2 common heteroskedasticity tests are asymptotic which may not control size in finite samples. So a number of recent studies have tried to improve(More)
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