Analyzing uniform residuals for heteroscedasticity.
R. A. Hester, Charles P. Quesenberry · NCSU Libraries Repository (North Carolina State University Libraries) · 1983
We discuss the detection of monotonic heteroscedasticity in normal regression data, using graphical methods and two new, exact tests; and conclude from the results of a systematic power comparison of these tests and those of Goldfeld and Quandt, Theil, Harvey and Phillips, and Harrison and McCabe, that the new test based on NU residuals is somewhat superior, overall.We also use the methods posed here to analyze a data set found in the literature.Both proposed test statistics have exact (null hypothesis) x 2 distributions, so that exact p-values of tests are readily available for all sample sizes.