Publication Type

Journal Article

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

Copyright Owner and License

Authors

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.

Additional URL

http://doi.org/10.1017/S0266466612000278

Included in

Econometrics Commons

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