Bootstrapped White's test for heteroskedasticity in regression models

Jinook Jeong, Kyoungwoo Lee

Research output: Contribution to journalArticle

3 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 languageEnglish
Pages (from-to)261-267
Number of pages7
JournalEconomics Letters
Volume63
Issue number3
DOIs
Publication statusPublished - 1999 Jun

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics and Econometrics

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