TY  - BOOK
AU  - Liangjun Su
AU  - Aman Ullah
TI  - A nonparametric goodness-of-fit-based test for conditional heteroskedasticity
AV  - HB139.T52 ECO 
PY  - 2013///
CY  - Cambridge
PB  - Cambridge University Press
KW  - Nonparametric statistics |
KW  - Statistical test
KW  - Heteroscedasticity
N2  - 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
UR  - 10.1017/S0266466612000278
ER  -