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)

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