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

• Main Authors: SU, Liangjun, ULLAH, Aman
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2009
• Subjects: ANOVA; Conditional homoskedasticity; Consistency; Local polynomial regressions; Nonparametric R2; Nonparametric test; Econometrics
• 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
• Institution: Singapore Management University

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...