Finite Sample Nonparametric Tests for Linear Regressions
نویسندگان
چکیده
منابع مشابه
Finite Sample Tests for Arch Effects and Variance Change-points in Linear Regressions
A wide range of tests for heteroskedasticity have been proposed in econometrics and statistics.1 Although a few exact tests are available (e.g. Goldfeld-Quandt’s F -test, its extensions and Szroeter’s procedures),2 common heteroskedasticity tests are asymptotic which may not control size in finite samples. So a number of recent studies have tried to improve the reliability of these tests using ...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2010
ISSN: 1556-5068
DOI: 10.2139/ssrn.1569483