Kernel-based testing with skewed and heavy-tailed data: Evidence from a nonparametric test for heteroskedasticity

Academic Article

Authors

  • Henderson, Daniel J
  • Sheehan, Alice
  • Status

    Publication Date

  • November 2018
  • Has Subject Area

    Published In

  • Economics Letters  Journal
  • Keywords

  • Heteroskedasticity
  • Kernel
  • Kurtosis
  • Skewness
  • Specification testing
  • Digital Object Identifier (doi)

    Start Page

  • 8
  • End Page

  • 11
  • Volume

  • 172
  • Issue

  • J. Econometrics 167 2 2012