A Heteroskedasticity Test Robust to Conditional Mean Misspecification

DOI10.2307/2951681MaRDI QIDQ4006260zbMATH OpenOpenAlexFDO

Authors 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 normalitychi-square distributionconditional mean misspecificationextensions of classical \(U\)-statistic theoremsheteroskedasticity testkernel estimationnonparametric kernel regressionnonparametric residualregression function misspecification

Mathematics Subject Classification ID

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

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(16)

• Non-parametric test of derivative restrictions robust to functional misspecification
• Kernel-based testing with skewed and heavy-tailed data: evidence from a nonparametric test for heteroskedasticity
• Robust heteroskedasticity-robust tests
• Testing for ARCH in the presence of a possibly misspecified conditional mean
• Consistent nonparametric hypothesis tests with an application to Slutsky symmetry
• Nonparametric bootstrap tests for neglected nonlinearity in time series regression models^∗
• Accurately sized test statistics with misspecified conditional homoskedasticity
• Misspecification and estimation effect in the Lagrange multiplier tests for heteroskedasticity
• A test of normality using nonparametrlic residuals
• Testing for conditional heteroscedasticity: some monte carlo results
• Comment on “Statistical Adequacy and the Testing of Trend Versus Difference Stationarity” by Andreou and Spanos (Number 2)
• A nonparametric goodness-of-fit-based test for conditional heteroskedasticity
• Detection of marginal heteroscedasticity for partial linear single-index models
• Heteroskedasticity–robust tests with minimum size distortion
• Calibration of Inexact Computer Models with Heteroscedastic Errors
• Robust tests for heteroskedasticity in the one-way error components model

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