A New Test for Heteroskedasticity
一种新的异方差检验
The quite general test for heteroskedasticity presented here regresses the absolute values of the residuals obtained by ordinary least-squares on some variable(s). Denoting the O.L.S. residuals by , one obtains, for instance, a regression like where z is a variable, a and b regression coefficients and the residuals of the new regression. We call the acceptance of a non-zero value for both a and b a case of “mixed heteroskedasticity”, which we deem frequent in practice though…