|
Robust Tests for Heteroscedasticity Based on Regression Quantiles
Roger Koenker
Gilbert Bassett, Jr.
Abstract
A new class of tests for heteroscedasticity in linear models based on the regression quantile statistics of Koenker and Bassett [17] is introduced. In contrast to classical methods based on least-squares residuals, the new tests are robust to departures from Gaussian hypotheses on the underlying error process of the model.
|
