A longest run test for heteroscedasticity in univariate regression model
Methodology
2010-03-23 v1 Statistics Theory
Statistics Theory
Abstract
The scope of this paper is the presentation of a test that enables to detect heteroscedasticity in univariate regression model. The test is simple to compute and very general since no hypothesis is made on the regularity of the response function or on the normality of errors. Simulations show that our test fairs well with respect to other less general nonparametric tests.
Cite
@article{arxiv.1003.4156,
title = {A longest run test for heteroscedasticity in univariate regression model},
author = {Jean-Baptiste Aubin and Samuela Leoni-Aubin},
journal= {arXiv preprint arXiv:1003.4156},
year = {2010}
}