We consider two different approaches to the heteroscedasticity problem and in both cases derive a Bayesian diagnostic tool based on the marginal score function (Carota, 2005), then we compare the obtained results and the Goldfeld-Quandt test, on the one hand, and the Lagrange multiplier test, discussed by Breusch and Pagan (1979), Godfrey (1978), Cook and Weisberg (1983), on the other hand. Finally, some natural extensions of our results are described and an application to a well known real data set is provided.
A note on Bayesian score tests for heteroscedasticity
CAROTA, Cinzia
2009-01-01
Abstract
We consider two different approaches to the heteroscedasticity problem and in both cases derive a Bayesian diagnostic tool based on the marginal score function (Carota, 2005), then we compare the obtained results and the Goldfeld-Quandt test, on the one hand, and the Lagrange multiplier test, discussed by Breusch and Pagan (1979), Godfrey (1978), Cook and Weisberg (1983), on the other hand. Finally, some natural extensions of our results are described and an application to a well known real data set is provided.
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