The Finite-Sample Performance of White's Test for Heteroskedasticity Under Stochastic Regressors

References

• Ando , M. , Hodoshima , J. ( 2007 ). A note on bootstrapped White's test for heteroskedasticity in regression models . Econ. Lett. 97 : 46 – 51 .
   Google Scholar
• Cribari-Neto , F. , Zarkos , S. G. ( 1999 ). Bootstrap methods for heteroskedastic regression models: evidence on estimation and testing . Econometric Rev. 18 : 211 – 228 .
   Google Scholar
• Davidson , R. , Flachaire , E. ( 2001 ). The wild Bootstrap, Tamed at Last . Working paper, IER#1000, Queen's University .
   Google Scholar
• Efron , B. ( 1982 ). The Jackknife, the Bootstrap and Other Resampling Plans . Philadelphia : SIAM .
   Google Scholar
• Flachaire , E. ( 1999 ). A better way to bootstrap pairs . Econ. Lett. 64 : 257 – 262 .
   Web of Science ®Google Scholar
• Flachaire , E. ( 2005 ). Bootstrapping heteroskedastic regression models: wild bootstrap vs. pairs bootstrap . Computat. Statist. Data Anal. 49 : 361 – 376 .
   Web of Science ®Google Scholar
• Hodoshima , J. , Ando , M. ( 2006 ). The effect of non independence of explanatory variables and error term and heteroskedasticity in stochastic regression models . Commun. Statist. Simul. Computat. 35 : 361 – 405 .
   Web of Science ®Google Scholar
• Jeong , J. , Lee , K. ( 1999 ). Bootstrapped White's test for heteroskedasticity in regression models . Econ. Lett. 63 : 261 – 267 .
   Google Scholar
• Mammen , E. ( 1993 ). Bootstrap and wild bootstrap for high dimensional linear models . Ann. Statist. 21 : 255 – 285 .
   Web of Science ®Google Scholar
• White , H. ( 1980 ). A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity . Econometrica 48 : 817 – 838 .
   Web of Science ®Google Scholar
• Wu , C. F. J. ( 1986 ). Jackknife, bootstrap and other resampling methods in regression analysis . Ann. Statist. 14 : 1261 – 1295 .
   Web of Science ®Google Scholar