A note on bootstrapped White's test for heteroskedasticity in regression models

被引：9

作者：

Ando, Masakazu

Hodoshima, Jiro

机构：

[1] Nagoya City Univ, Japan Soc Promot Sci, Nagoya, Aichi 4678501, Japan

[2] Nagoya City Univ, Grad Sch Econ, Nagoya, Aichi 4678501, Japan

来源：

ECONOMICS LETTERS | 2007年 / 97卷 / 01期

关键词：

bootstrap; White's test; heteroskedasticity;

D O I：

10.1016/j.econlet.2007.02.017

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We show the bootstrap procedure of Jeong and Lee [Jeong, J. and Lee, K., 1999. Bootstrapped White's test for heteroskedasticity in regression models. Economics Letters, 63, 261-267.] leads to the same bootstrapped distribution of the White's test as that based on a standard bootstrap procedure when there exists an intercept in the underlying linear regression model. (C) 2007 Elsevier B.V. All rights reserved.

引用

页码：46 / 51

页数：6