Kernel-based testing with skewed and heavy-tailed data: evidence from a nonparametric test for heteroskedasticity

DOI10.1016/j.econlet.2018.08.007zbMath1407.62149OpenAlexW2886695499MaRDI QIDQ1629608

Alice Sheehan, Daniel J. Henderson

Publication date: 12 December 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2018.08.007

zbMATH Keywords

kurtosiskernelskewnessspecification testingheteroskedasticityheavy-tailed dataregressorsnonparametric kernel-based specification test

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (2)

A modified bootstrap for kernel-based specification test with heavy-tailed data ⋮ Consistent specification test for partially linear models with the k-nearest-neighbor method

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