Comparing Several Testing Methods of Heteroscedasticity

One of the important hypotheses of classical linear regression model is that the random disturbances have equal variance. However, in most economic phenomena, the disturbances vary with the observations. The model which has such kind of property is referred to as heteroscedastic regression model. If it is estimated by the method of OLS, it will bring about serious effects. Thus, it is of great significance to choose the proper testing methods of heteroscedasticity. In this article three different forms of heteroscedasticity are used in the random simulation, and then the Park test, the Glejser test and the Goldfeld-Quandt test are compared .