There are many tests for heteroscedasticity, we want to know which test is more powerful.

What is it about?

We use Monte Carlo simulation to compare the power of seven most commonly used tests for detecting heteroscedasticity, namely, Breusch–Pagan test, Glejser test, Goldfeld–Quandt test, Harvey–Godfrey test, Harrison–McCabe test, Park test, and White test for six common types of heteroscedasticity. Simulation results show that the Harrison–McCabe test has generally the most power in all of the six common types of heteroscedasticity and the White test has generally the least power in all of the six common types of heteroscedasticity.

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Why is it important?

We want to know which test for heteroscedasticity is more powerful.