Publication Type
Journal Article
Version
publishedVersion
Publication Date
2-2013
Abstract
In this paper we propose a new nonparametric test for conditional heteroskedasticity based on a measure of nonparametric goodness-of-fit (R2) that is obtained from the local polynomial regression of the residuals from a parametric regression on some covariates. We show that after being appropriately standardized, the nonparametric R2 is asymptotically normally distributed under the null hypothesis and a sequence of Pitman local alternatives. We also prove the consistency of the test and propose a bootstrap method to obtain the bootstrap p-values. We conduct a small set of simulations and compare our test with some popular parametric and nonparametric tests in the literature.
Discipline
Econometrics
Research Areas
Econometrics
Publication
Econometric Theory
Volume
29
Issue
1
First Page
187
Last Page
212
ISSN
0266-4666
Identifier
10.1017/S0266466612000278
Publisher
Cambridge University Press
Citation
SU, Liangjun and ULLAH, Aman.
A Nonparametric Goodness-of-fit-based Test for Conditional Heteroskedasticity. (2013). Econometric Theory. 29, (1), 187-212.
Available at: https://ink.library.smu.edu.sg/soe_research/1557
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1017/S0266466612000278