A Test for Heteroscedasticity Based on Ordinary Least Squares Residuals

Two variants of a test for heteroscedasticity based on ordinary least squares residuals are proposed: a bounds test and an “exact” test. Both variants are parametric and make use of tables of the F distribution. Under a variety of circumstances, the power of the bounds test compares favorably with the powers of the tests of Goldfeld and Quandt, Theil, and Harvey and Phillips. The computational simplicity of the bounds test compared with other tests makes it a particularly attractive practical procedure. The power of the “exact” test generally exceeds that of the other tests, but the “exact” test is rather difficult to apply in practice.

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