The importance of being able to detect heteroscedasticity in regression is widely recognized because efficient inference for the regression function requires that heteroscedasticity is taken into ...

In the presence of heteroscedasticity, ordinary least squares (OLS) estimates are unbiased, but the usual tests of significance are generally inappropriate and their use can lead to incorrect ...

The Lagrange multiplier (LM) tests also indicate heteroscedasticity. These tests can also help determine the order of the ARCH model appropriate for modeling the heteroscedasticity, assuming that the ...

Limitations of GARCH and Heteroscedasticity Specifications When you specify both the GARCH= option and the HETERO statement, the GARCH= (TYPE=EXP) option is not valid. The COVEST= option is not ...