The Finite-Sample Performance of White's Test for Heteroskedasticity Under Stochastic Regressors

DOI10.1080/03610910701569499zbMath1126.62058OpenAlexW2088540156MaRDI QIDQ5436432

Jiro Hodoshima, Masakazu Ando

Publication date: 16 January 2008

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610910701569499

zbMATH Keywords

tablesWhite's testnon independence of explanatory variables and error terms

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05)

Related Items

Inference about clustering and parametric assumptions in covariance matrix estimation ⋮ A Simulation Study of White's Test for Heteroskedasticity in Fixed and Stochastic Regression Models

Cites Work

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• Bootstrapping heteroskedastic regression models: wild bootstrap vs. pairs bootstrap
• Bootstrapped White's test for heteroskedasticity in regression models
• Jackknife, bootstrap and other resampling methods in regression analysis
• A note on bootstrapped White's test for heteroskedasticity in regression models
• A better way to bootstrap pairs.
• Bootstrap and wild bootstrap for high dimensional linear models
• Bootstrap methods for heteroskedastic regression models: evidence on estimation and testing
• The Effect of Non Independence of Explanatory Variables and Error Term and Heteroskedasticity in Stochastic Regression Models

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