Testing heteroskedasticity for predictive regressions with nonstationary regressors
Sign Up to like & getrecommendations! Published in 2021 at "Economics Letters"
DOI: 10.1016/j.econlet.2021.109781
Abstract: Abstract This paper proposes the Cramer-von Mises type test statistic for testing heteroskedasticity in predictive regression when regressors are nonstationary. A Monte Carlo simulation study is conducted to illustrate the finite sample performance and a… read more here.
Keywords: testing heteroskedasticity; heteroskedasticity predictive; nonstationary regressors; predictive regressions ... See more keywords
Testing heteroskedasticity in trace regression with low-rank matrix parameter
Sign Up to like & getrecommendations! Published in 2025 at "Communications in Statistics - Theory and Methods"
DOI: 10.1080/03610926.2025.2472791
Abstract: Abstract. Heteroskedasticity testing is crucial in regression analysis, yet research on heteroskedasticity tests for matrix data remains limited. This article introduces a novel approach for testing heteroskedasticity in trace regression, using the nuclear norm penalty… read more here.
Keywords: heteroskedasticity; regression; trace regression; testing heteroskedasticity ... See more keywords