Violation of the assumption of homoscedasticity and detection of heteroscedasticity

Irena Đalić; Svetlana Terzić

doi:10.31181/dmame2104001d

Authors

Irena Đalić University of East Sarajevo, Faculty of Transport and Traffic Engineering, Doboj, Republic of Srpska, Bosnia and Herzegovina
Svetlana Terzić University of East Sarajevo, Faculty of Transport and Traffic Engineering, Doboj, Republic of Srpska, Bosnia and Herzegovina

DOI:

https://doi.org/10.31181/dmame2104001d

Keywords:

Economic phenomena; heteroskedasticity; homoskedasticity; random errors

Abstract

In this paper, it is assumed that there is a violation of homoskedasticity in a certain classical linear regression model, and we have checked this with certain methods. Model refers to the dependence of savings on income. Proof of the hypothesis was performed by data simulation. The aim of this paper is to develop a methodology for testing a certain model for the presence of heteroskedasticity. We used the graphical method in combination with 4 tests (Goldfeld-Quantum, Glejser, White and Breusch-Pagan). The methodology that was used in this paper showed that the assumption of homoskedasticity was violated and it showed existence of heteroskedasticity.

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