Econometrica: Jan 1982, Volume 50, Issue 1
Robust Tests for Heteroscedasticity Based on Regression Quantiles
Gilbert Bassett, Jr., Roger KoenkerA new class of tests for heteroscedasticity in linear models based on the regression quantile statistics of Koenker and Bassett  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.
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