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 | |
| Publication status | Published - 1999 Jun |
All Science Journal Classification (ASJC) codes
- Finance
- Economics and Econometrics
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Cite this
Jeong, J., & Lee, K. (1999). Bootstrapped White's test for heteroskedasticity in regression models. Economics Letters, 63(3), 261-267. https://doi.org/10.1016/s0165-1765(99)00036-1