Econometrica Vol. 50 No. 1 1982
Robust Tests for Heteroscedasticity Based on Regression Quantiles
Abstract
[A new class of tests for heteroscedasticity in linear models based on the regression quantile statistics of Koenker and Bassett [17] is introduced. In contrast to classical methods based on least-squares residuals, the new tests are robust to departures from Gaussian hypotheses on the underlying error process of the model.]
- DOI
- 10.2307/1912528
- Volume
- 50
- Issue
- 1
- Pages
- 43
- Sources
- bibtex:phds-export.bib openalex crossref