Journal of the Royal Statistical Society Series B (Statistical Methodology) · 1993 · 64 citations · 15 references
Econometric ModelTest StatisticsHomogeneous VariancesEconometricsBusinessRegression AnalysisStatistical InferenceSummary Diagnostic TestsEconometric MethodNonparametric RegressionFinanceStatisticsRegression TestingSemi-nonparametric Estimation
SUMMARY Diagnostic tests and plots are proposed for detecting heteroscedasticity in nonparametric regression. The large and small sample power properties are studied for a class of test statistics for the hypothesis of homogeneous variances. New diagnostic plots are also developed and illustrated.
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