A Heteroskedasticity Test Robust to Conditional Mean Misspecification

DOI10.2307/2951681zbMath0743.62034OpenAlexW2005936438MaRDI QIDQ4006260

Byung-Joo Lee

Publication date: 26 September 1992

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2951681

zbMATH Keywords

asymptotic normalitykernel estimationchi-square distributionnonparametric kernel regressionconditional mean misspecificationheteroskedasticity testextensions of classical \(U\)-statistic theoremsnonparametric residualregression function misspecification

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Density estimation (62G07) Nonparametric hypothesis testing (62G10) Asymptotic distribution theory in statistics (62E20) Nonparametric robustness (62G35)

Related Items (8)

Non-parametric test of derivative restrictions robust to functional misspecification ⋮ Consistent nonparametric hypothesis tests with an application to Slutsky symmetry ⋮ Detection of marginal heteroscedasticity for partial linear single-index models ⋮ Calibration of Inexact Computer Models with Heteroscedastic Errors ⋮ Nonparametric bootstrap tests for neglected nonlinearity in time series regression models^∗ ⋮ Comment on “Statistical Adequacy and the Testing of Trend Versus Difference Stationarity” by Andreou and Spanos (Number 2) ⋮ Testing for ARCH in the presence of a possibly misspecified conditional mean ⋮ A test of normality using nonparametrlic residuals

This page was built for publication: A Heteroskedasticity Test Robust to Conditional Mean Misspecification