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Testing heteroscedasticity
Špaková, Mária ; Kalina, Jan (advisor) ; Zichová, Jitka (referee)
Title: Testing heteroscedasticity Author: Mária Špaková Department: Department of Probability and Mathematical Statistics Supervisor: RNDr. Jan Kalina Ph.D., Institute of Computer Science, Academy of Sciences of the Czech Republic Abstract: This paper deals with testing heteroscedasticity. It is divided into four chapters. The first three chapters focus on the theory and the last one is devoted to practical testing using specific data. In the beginning of the theoretical part, basic concepts, knowledge and relationships concerning the linear regression, the regression model and the estimation of parameters by the method of ordinary least squares are introduced. The rest of this part is devoted to heteroskedasticity, its consequences and solutions. The following heteroscedasticity tests are being discussed: Breusch - Pagan, Goldfeld - Quandt and White. The practical part contains actual applications of the described tests and other methods to detect heteroskedasticity using three examples: Outlays vs. income, GDP and Expenditures on food. The aim of this paper is to discuss the above-mentioned tests. Three examples on real data with economic motivation confirm the theoretical properties of the tests. A uniformly optimal test of heteroscedasticity does not exist and different tests yield rather different...
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Testing heteroscedasticity
Špaková, Mária ; Kalina, Jan (advisor) ; Zichová, Jitka (referee)
Title: Testing heteroscedasticity Author: Mária Špaková Department: Department of Probability and Mathematical Statistics Supervisor: RNDr. Jan Kalina Ph.D., Institute of Computer Science, Academy of Sciences of the Czech Republic Abstract: This paper deals with testing heteroscedasticity. It is divided into four chapters. The first three chapters focus on the theory and the last one is devoted to practical testing using specific data. In the beginning of the theoretical part, basic concepts, knowledge and relationships concerning the linear regression, the regression model and the estimation of parameters by the method of ordinary least squares are introduced. The rest of this part is devoted to heteroskedasticity, its consequences and solutions. The following heteroscedasticity tests are being discussed: Breusch - Pagan, Goldfeld - Quandt and White. The practical part contains actual applications of the described tests and other methods to detect heteroskedasticity using three examples: Outlays vs. income, GDP and Expenditures on food. The aim of this paper is to discuss the above-mentioned tests. Three examples on real data with economic motivation confirm the theoretical properties of the tests. A uniformly optimal test of heteroscedasticity does not exist and different tests yield rather different...
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