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
Publication statusPublished - 1999 Jun 1

Fingerprint

Regression model
Heteroskedasticity
Bootstrap
Finite sample
Bootstrap test

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics
  • Finance

Cite this

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Bootstrapped White's test for heteroskedasticity in regression models. / Jeong, Jinook; Lee, Kyoungwoo.

In: Economics Letters, Vol. 63, No. 3, 01.06.1999, p. 261-267.

Research output: Contribution to journalArticle

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