A Nonparametric Goodness-of-fit-based Test for Conditional Heteroskedasticity

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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書目詳細資料
Main Authors:	SU, Liangjun, ULLAH, Aman
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2009
主題:	ANOVA Conditional homoskedasticity Consistency Local polynomial regressions Nonparametric R2 Nonparametric test Econometrics
在線閱讀:	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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