The Laplace Likelihood Ratio Test for Heteroscedasticity | Zendy

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The Laplace Likelihood Ratio Test for Heteroscedasticity

Author(s) -

Van Zyl

Publication year - 2011

Publication title -

international journal of mathematics and mathematical sciences

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.21

H-Index - 39

eISSN - 1687-0425

pISSN - 0161-1712

DOI - 10.1155/2011/249564

Subject(s) - mathematics , heteroscedasticity , likelihood ratio test , statistics , normality , score test , normality test , gaussian , econometrics , statistical hypothesis testing , physics , quantum mechanics

It is shown that the likelihood ratio test for heteroscedasticity, assuming the Laplace distribution, gives good results for Gaussian and fat-tailed data. The likelihood ratio test, assuming normality, is very sensitive to any deviation from normality, especially when the observations are from a distribution with fat tails. Such a likelihood test can also be used as a robust test for a constant variance in residuals or a time series if the data is partitioned into groups

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