A Nonparametric Goodness-of-fit-based Test for Conditional Heteroskedasticity
In this paper we propose a nonparametric test for conditional heteroskedasticity based on a new measure of nonparametric goodness-of-fit (R2). In analogy with the ANOVA tools for classical linear regression models, the nonparametric R2 is obtained for the local polynomial regression of the residuals...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2009
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/1257 https://ink.library.smu.edu.sg/context/soe_research/article/2256/viewcontent/heteroskedasticity09.pdf |
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| Institution: | Singapore Management University |
| Language: | English |