Bootstrapped White's test for heteroskedasticity in regression models

DOI10.1016/S0165-1765(99)00036-1zbMATH Open0923.90036MaRDI QIDQ1292331FDOQ1292331

Authors: Jinook Jeong, Kyoungwoo Lee 

Publication date: 21 June 1999

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

Recommendations

• A note on bootstrapped White's test for heteroskedasticity in regression models
• A Simulation Study of White's Test for Heteroskedasticity in Fixed and Stochastic Regression Models
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• Heteroskedasticity-consistent covariance matrix estimation:white's estimator and the bootstrap^∗

zbMATH Keywords

bootstrapheteroskedasticitypowerWhite's test

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Cites Work

• Bootstrap methods for standard errors, confidence intervals, and other measures of statistical accuracy
• Bootstrap methods: another look at the jackknife
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Jackknife, bootstrap and other resampling methods in regression analysis
• The bootstrap and Edgeworth expansion
• Econometrics

Cited In (6)

• Bootstrap tests for autocorrelation.
• The Finite-Sample Performance of White's Test for Heteroskedasticity Under Stochastic Regressors
• A note on bootstrapped White's test for heteroskedasticity in regression models
• A Parametric Bootstrap Test for Comparing Heteroscedastic Regression Models
• A Simulation Study of White's Test for Heteroskedasticity in Fixed and Stochastic Regression Models
• A note on algebraic equivalence of White's test and a variation of the Godfrey/Breusch-Pagan test for heteroscedasticity

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