Investigating Performances of Some Statistical Tests for Heteroscedasticity Assumption in Generalized Linear Model: A Monte Carlo Simulations Study

• 作者: Samuel Olayemi Olanrewaju
• 来源期刊: 统计学期刊(英文)
• 学科: 数学
• 关键词: Homoscedasticity HETEROSCEDASTICITY Generalized Linear Model Monte Carlo
• 年，卷（期）: 2020,（3）
• 页码范围: 453-493
• 页数: 41页
• 分类号: O17

摘要

In a linear regression model, testing for uniformity of the variance of the residuals is a significant integral part of statistical analysis. This is a crucial assumption that requires statistical confirmation via the use of some statistical tests mostly before carrying out the Analysis of Variance (ANOVA) technique. Many academic researchers have published series of papers (articles) on some tests for detecting variance heterogeneity assumption in multiple linear regression models. So many comparisons on these tests have been made using various statistical techniques like biases, error rates as well as powers. Aside comparisons, modifications of some of these statistical tests for detecting variance heterogeneity have been reported in some literatures in recent years. In a multiple linear regression situation, much work has not been done on comparing some selected statistical tests for homoscedasticity assumption when linear, quadratic, square root, and exponential forms of heteroscedasticity are injected into the residuals. As a result of this fact, the present study intends to work extensively on all these areas of interest with a view to filling the gap. The paper aims at providing a comprehensive comparative analysis of asymptotic behaviour of some selected statistical tests for homoscedasticity assumption in order to hunt for the best statistical test for detecting heteroscedasticity in a multiple linear regression scenario with varying variances and levels of significance. In the literature, several tests for homoscedasticity are available but only nine: Breusch-Godfrey test, studentized Breusch-Pagan test, White’s test, Nonconstant Variance Score test, Park test, Spearman Rank, <span>Glejser test, Goldfeld-Quandt test, Harrison-McCabe test were considered for this study;this is with a view to examining, by Monte Carlo simulations, their</span><span> asymptotic behaviours. However, four different forms of heteroscedastic structures: exponential and linear (generalize of square-root and quadratic structur