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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Bibliographic Details
Main Authors: SU, Liangjun, ULLAH, Aman
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2013
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Online Access: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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Institution: Singapore Management University
Language: English