A Nonparametric Goodness-of-fit-based Test for Conditional Heteroskedasticity
In this paper we propose a new nonparametric test for conditional heteroskedasticity based on a measure of nonparametric goodness-of-fit (R2) that is obtained from the local polynomial regression of the residuals from a parametric regression on some covariates. We show that after being appropriately...
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| المؤلفون الرئيسيون: | , |
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| التنسيق: | text |
| اللغة: | English |
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Institutional Knowledge at Singapore Management University
2013
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| الموضوعات: | |
| الوصول للمادة أونلاين: | https://ink.library.smu.edu.sg/soe_research/1557 https://ink.library.smu.edu.sg/context/soe_research/article/2556/viewcontent/ET2013_Su_Ullah.pdf |
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| المؤسسة: | Singapore Management University |
| اللغة: | English |