A longest run test for heteroscedasticity in univariate regression model

Details A longest run test for heteroscedasticity in univariate regression model A longest run test for heteroscedasticity in univariate regression model

2010-03-22

arxiv.org/abs/1003.4156v1

Statistics

Methodology

Scientific paper

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.

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