A nonparametric goodness-of-fit-based test for conditional heteroskedasticity
Liangjun Su
A nonparametric goodness-of-fit-based test for conditional heteroskedasticity created by Liangjun Su and Aman Ullah - Econometric Theory Volume 29, number 1 .
In this paper we propose a new nonparametric test for conditional heteroskedasticity based on a measure of nonparametric goodness-of-fit (R 2 ) that is obtained from the local polynomial regression of the residuals from a parametric regression on some covariates. We show that after being appropriately standardized, the nonparametric R 2 is asymptotically normally distributed under the null hypothesis and a sequence of Pitman local alternatives. We also prove the consistency of the test and propose a bootstrap method to obtain the bootstrap p-values. We conduct a small set of simulations and compare our test with some popular parametric and nonparametric tests in the literature.
Nonparametric statistics |--Heteroscedasticity--Statistical test
HB139.T52 ECO
A nonparametric goodness-of-fit-based test for conditional heteroskedasticity created by Liangjun Su and Aman Ullah - Econometric Theory Volume 29, number 1 .
In this paper we propose a new nonparametric test for conditional heteroskedasticity based on a measure of nonparametric goodness-of-fit (R 2 ) that is obtained from the local polynomial regression of the residuals from a parametric regression on some covariates. We show that after being appropriately standardized, the nonparametric R 2 is asymptotically normally distributed under the null hypothesis and a sequence of Pitman local alternatives. We also prove the consistency of the test and propose a bootstrap method to obtain the bootstrap p-values. We conduct a small set of simulations and compare our test with some popular parametric and nonparametric tests in the literature.
Nonparametric statistics |--Heteroscedasticity--Statistical test
HB139.T52 ECO