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...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2013
|
| Subjects: | |
| 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 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Singapore Management University |
| Language: | English |