Kernel-based testing with skewed and heavy-tailed data: Evidence from a nonparametric test for heteroskedasticity
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DOI: 10.1016/j.econlet.2018.08.007
Abstract: We examine the performance of a nonparametric kernel-based specification test in the presence of skewed and heavy-tailed regressors. We start by modifying the Zheng (2009) test for heteroskedasticity by removing the random denominator in the… read more here.
Keywords: kernel based; test heteroskedasticity; heavy tailed; test ... See more keywords