Bootstrapped White's test for heteroskedasticity in regression models

Jinook Jeong; Kyoungwoo Lee

doi:10.1016/s0165-1765(99)00036-1

Bootstrapped White's test for heteroskedasticity in regression models

Jinook Jeong, Kyoungwoo Lee

Department of Economics

Research output: Contribution to journal › Article › peer-review

6 Citations (Scopus)

Abstract

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.

Original language	English
Pages (from-to)	261-267
Number of pages	7
Journal	Economics Letters
Volume	63
Issue number	3
DOIs	https://doi.org/10.1016/s0165-1765(99)00036-1
Publication status	Published - 1999 Jun

All Science Journal Classification (ASJC) codes

Finance
Economics and Econometrics

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10.1016/s0165-1765(99)00036-1

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title = "Bootstrapped White's test for heteroskedasticity in regression models",

abstract = "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.",

author = "Jinook Jeong and Kyoungwoo Lee",

year = "1999",

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AU - Lee, Kyoungwoo

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Bootstrapped White's test for heteroskedasticity in regression models

Abstract

All Science Journal Classification (ASJC) codes

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