Testing heteroscedasticity in nonlinear and nonparametric regressions
From MaRDI portal
Publication:5192952
DOI10.1002/cjs.10020zbMath1176.62046OpenAlexW2161917006MaRDI QIDQ5192952
Publication date: 10 August 2009
Published in: Canadian Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/cjs.10020
Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Applications of statistics to actuarial sciences and financial mathematics (62P05) General nonlinear regression (62J02) Monte Carlo methods (65C05)
Related Items (18)
Pairwise distance-based heteroscedasticity test for regressions ⋮ Kernel-based testing with skewed and heavy-tailed data: evidence from a nonparametric test for heteroskedasticity ⋮ Heteroscedasticity testing for regression models: a dimension reduction-based model adaptive approach ⋮ Tests for heteroskedasticity in transformation models ⋮ Root-\(n\) consistent kernel density estimation in practice ⋮ Testing the parametric form of the conditional variance in regressions based on distance covariance ⋮ A new test for heteroscedasticity in single-index models ⋮ A test for a parametric form of the volatility in second-order diffusion models ⋮ Unnamed Item ⋮ Combining the Virtues of Stochastic Frontier and Data Envelopment Analysis ⋮ Asymptotically distribution-free tests for the volatility function of a diffusion ⋮ Distance-covariance-based tests for heteroscedasticity in nonlinear regressions ⋮ Heteroscedasticity test when the covariables are functionals ⋮ Heteroscedasticity checks for single index models ⋮ A nonparametric hypothesis test for heteroscedasticity ⋮ Test for heteroscedasticity in partially linear regression models ⋮ Evaluating the adequacy of variance function using pairwise distances ⋮ A nonparametric specification test for the volatility functions of diffusion processes
Cites Work
- Unnamed Item
- Unnamed Item
- A Simple Test for Heteroscedasticity and Random Coefficient Variation
- Diagnostics for heteroscedasticity in regression
- A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
- A consistent test of functional form via nonparametric estimation techniques
- Maximum Likelihood Specification Testing and Conditional Moment Tests
- Diagnostic testing and evaluation of maximum likelihood models
- Asymmetric Least Squares Estimation and Testing
- Testing the parametric form of the volatility in continuous time diffusion models -- a stochastic process approach
- Consistent estimators in nonlinear regression for a noncompact parameter space
- A test for the parametric form of the variance function in a partial linear regression model
- Strong uniform convergence rates in robust nonparametric time series analysis and prediction: Kernel regression estimation from dependent observations
- A note on Studentizing a test for heteroscedasticity
- Using residuals robustly I: Tests for heteroscedasticity, nonlinearity
- Testing for multiplicative heteroskedasticity
- A simple consistent bootstrap test for a parametric regression function
- Comparing nonparametric versus parametric regression fits
- A consistent test for heteroscedasticity in nonparametric regression based on the kernel method
- Heteroscedasticity checks for regression models
- On a test for a parametric form of volatility in continuous time financial models
- Some higher-order theory for a consistent non-parametric model specification test
- On the application of robust, regression-based diagnostics to models of conditional means and conditional variances
- Testing the Goodness of Fit of a Linear Model Via Nonparametric Regression Techniques
- Investigating Smooth Multiple Regression by the Method of Average Derivatives
- On variance estimation in nonparametric regression
- Robust Tests for Heteroscedasticity Based on Regression Quantiles
- A TEST FOR CONDITIONAL HETEROSKEDASTICITY IN TIME SERIES MODELS
- A Class of Parametric Tests for Heteroscedasticity in Linear Econometric Models
- Testing Heteroscedasticity In Nonparametric Regression
- Testing homoscedasticity in nonparametric regression
- Semiparametric Estimation of Index Coefficients
- Specification Tests for the Variance of a Diffusion
This page was built for publication: Testing heteroscedasticity in nonlinear and nonparametric regressions
