Bootstrapped White's test for heteroskedasticity in regression models

被引：12

作者：

Jeong, J ^{[1
]}

Lee, K ^{[1
]}

机构：

[1] Ajou Univ, Dept Econ, Suwon 442749, South Korea

来源：

ECONOMICS LETTERS | 1999年 / 63卷 / 03期

关键词：

bootstrap; heteroskedasticity; power; White's test;

D O I：

10.1016/S0165-1765(99)00036-1

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper suggests a bootstrap procedure that can improve the finite sample performance of White's test. A Monte Carlo comparison is presented to examine the effectiveness of the proposed bootstrap test against the asymptotic White's test. (C) 1999 Elsevier Science S.A. All rights reserved.

引用

页码：261 / 267

页数：7

共 9 条

[1]

[Anonymous], ADV EC ECONOMETRICS

[2] 1977 RIETZ LECTURE - BOOTSTRAP METHODS - ANOTHER LOOK AT THE JACKKNIFE [J].