R. Nwaka

Monte Carlo evaluation of classical heteroscedasticity test in linear regression

In order to assess and compare the finite-sample performance of five widely used tests for identifying heteroscedasticity in linear regression models—the Park, Breusch–Pagan, Goldfeld–Quandt, Glejser, and White tests— this study uses a Monte Carlo simulation framework. Both homoscedastic and heteroscedastic error struc...