A nonparametric goodness-of-fit-based test for conditional heteroskedasticity (Record no. 164643)
[ view plain ]
| 000 -LEADER | |
|---|---|
| fixed length control field | 01522nam a22002417a 4500 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | ZW-GwMSU |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20240403140543.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 240403b |||||||| |||| 00| 0 eng d |
| 040 ## - CATALOGING SOURCE | |
| Original cataloging agency | MSU |
| Language of cataloging | English |
| Transcribing agency | MSU |
| Description conventions | rda |
| 050 00 - LIBRARY OF CONGRESS CALL NUMBER | |
| Classification number | HB139.T52 ECO |
| 100 1# - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Liangjun Su |
| Relator term | author |
| 245 12 - TITLE STATEMENT | |
| Title | A nonparametric goodness-of-fit-based test for conditional heteroskedasticity |
| Statement of responsibility, etc. | created by Liangjun Su and Aman Ullah |
| 264 1# - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE | |
| Place of production, publication, distribution, manufacture | Cambridge: |
| Name of producer, publisher, distributor, manufacturer | Cambridge University Press, |
| Date of production, publication, distribution, manufacture, or copyright notice | 2013 |
| 336 ## - CONTENT TYPE | |
| Source | rdacontent |
| Content type term | text |
| Content type code | txt |
| 337 ## - MEDIA TYPE | |
| Source | rdamedia |
| Media type term | unmediated |
| Media type code | n |
| 338 ## - CARRIER TYPE | |
| Source | rdacarrier |
| Carrier type term | volume |
| Carrier type code | nc |
| 440 ## - SERIES STATEMENT/ADDED ENTRY--TITLE | |
| Title | Econometric Theory |
| Volume/sequential designation | Volume 29, number 1 |
| 520 3# - SUMMARY, ETC. | |
| Summary, etc. | 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. |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Nonparametric statistics | |
| Form subdivision | Statistical test |
| General subdivision | Heteroscedasticity |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Aman Ullah |
| Relator term | co-author |
| 856 ## - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | 10.1017/S0266466612000278 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Source of classification or shelving scheme | Library of Congress Classification |
| Koha item type | Journal Article |
| Withdrawn status | Lost status | Source of classification or shelving scheme | Damaged status | Not for loan | Home library | Current library | Shelving location | Date acquired | Serial Enumeration / chronology | Total Checkouts | Full call number | Date last seen | Copy number | Price effective from | Koha item type | Public note |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Library of Congress Classification | Main Library | Main Library | - Special Collections | 25/11/2013 | vol. 29, no. 1 (pages 187-212) | HB139.T52 ECO | 03/04/2024 | SP17546 | 03/04/2024 | Journal Article | For In house Use |