A nonparametric measure of heteroskedasticity
From MaRDI portal
Publication:830680
DOI10.1016/j.jspi.2020.08.005zbMath1466.62301OpenAlexW3095698647MaRDI QIDQ830680
Abderrahim Taamouti, Xiaojun Song
Publication date: 7 May 2021
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: http://dro.dur.ac.uk/31728/1/31728.pdf
bootstrapincome and years of educationmeasuring heteroskedasticitynonparametric quantile regressions
Nonparametric regression and quantile regression (62G08) Applications of statistics to social sciences (62P25) Nonparametric statistical resampling methods (62G09)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
- Asymptotic inference under heteroskedasticity of unknown form
- Asymmetric Least Squares Estimation and Testing
- Quantile inference for heteroscedastic regression models
- Central limit theorem for integrated square error of multivariate nonparametric density estimators
- Nonparametric estimates of regression quantiles and their local Bahadur representation
- Testing for multiplicative heteroskedasticity
- Testing for structural change in conditional models
- Glejser's test revisited
- The local bootstrap for kernel estimators under general dependence conditions
- Heteroscedasticity checks for regression models
- Multivariate locally weighted least squares regression
- Heteroskedasticity-robust inference in finite samples
- Exact optimal inference in regression models under heteroskedasticity and non-normality of unknown form
- The Bahadur representation for sample quantiles under weak dependence
- A CONSISTENT TEST FOR CONDITIONAL HETEROSKEDASTICITY IN TIME-SERIES REGRESSION MODELS
- UNIFORM BIAS STUDY AND BAHADUR REPRESENTATION FOR LOCAL POLYNOMIAL ESTIMATORS OF THE CONDITIONAL QUANTILE FUNCTION
- Nonlinear Time Series
- Measuring the degree of severity of heteroskedasticity and the choice between the ols estimator and the 2sae
- Local Linear Quantile Regression
- Robust Tests for Heteroscedasticity Based on Regression Quantiles
- Testing Heteroscedasticity In Nonparametric Regression
- Prediction and nonparametric estimation for time series with heavy tails
- Inference in Linear Regression Models with Many Covariates and Heteroscedasticity
- Testing homoscedasticity in nonparametric regression
- Quality of Fit Measures in the Framework of Quantile Regression
- A NONPARAMETRIC GOODNESS-OF-FIT-BASED TEST FOR CONDITIONAL HETEROSKEDASTICITY
- UNIFORM BAHADUR REPRESENTATION FOR LOCAL POLYNOMIAL ESTIMATES OF M-REGRESSION AND ITS APPLICATION TO THE ADDITIVE MODEL
- Income Variance Dynamics and Heterogeneity
- Nonparametric estimation of a conditional quantile for \(\alpha\)-mixing processes