Detecting heteroscedasticity using a non-parametric regression technique

Detecting heteroscedasticity using a non-parametric regression technique

0.00 Avg rating0 Votes
Article ID: iaor20023080
Country: South Africa
Volume: 24
Issue: 2
Start Page Number: 87
End Page Number: 95
Publication Date: Aug 2000
Journal: International Studies In Economics and Econometrics
Authors:
Keywords: finance & banking
Abstract:

Most empirical research on detecting heteroscedasticity relies on parametric techniques. It is, however, well established that parametric estimation techniques have the added disadvantage of introducing biases from parameters fed into the modelling process. In this paper, a diagnostic test for detecting heteroscedasticity is explored using a non-parametric approach. The small and large sample statistics of the hypothesis of homogeneous variances are also studied using stock FTSE 100 index data. The test statistics rejected the null hypothesis of homogeneous variances.

Reviews

Required fields are marked *. Your email address will not be published.