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Testing heteroscedasticity in nonlinear and nonparametric regressions. (English) Zbl 1176.62046

Summary: This article presents new nonparametric tests for heteroscedasticity in nonlinear and nonparametric regression models. The tests have an asymptotic standard normal distribution under the null hypothesis of homoscedasticity and are robust against any form of heteroscedasticity. A Monte Carlo simulation with critical values obtained from the wild bootstrap procedure is provided to assess the finite sample performances of the tests. A real application of testing interest rate volatility functions illustrates the usefulness of the tests proposed.

MSC:

62G10 Nonparametric hypothesis testing
62G08 Nonparametric regression and quantile regression
62J02 General nonlinear regression
65C05 Monte Carlo methods
62P05 Applications of statistics to actuarial sciences and financial mathematics
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