A Heteroskedasticity Test Robust to Conditional Mean Misspecification

Byung-Joo Lee ()

Econometrica, 1992, vol. 60, issue 1, 159-71

Abstract: This paper proposes a new test statistic to deter the presence of heteroskedasticity. The proposed test does not require a parametric specification of the mean regression function in the first stage regression. The regression function is estimated nonparametrically by the kernel estimation method. The nonparametric residual is estimated and used as a proxy for the random disturbance term. This nonparametric residual is robust to regression function misspecification. Asymptotic normality is established using extensions of classical U-statistic theorems. The test statistic is computed using the nonparametric quantities, but the resulting inference has a standard chi-square distribution. Copyright 1992 by The Econometric Society.

Date: 1992
References: Add references at CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
http://links.jstor.org/sici?sici=0012-9682%2819920 ... O%3B2-7&origin=repec full text (application/pdf)
Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ecm:emetrp:v:60:y:1992:i:1:p:159-71

Ordering information: This journal article can be ordered from
https://www.economet ... ordering-back-issues

Access Statistics for this article

Econometrica is currently edited by Guido Imbens

More articles in Econometrica from Econometric Society Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().