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We show that the standard consistent test for testing the null of conditional homoskedasticity (against conditional heteroskedasticity) can be generalized to a time-series regression model with weakly ...
YANLIN TANG, HUIXIA JUDY WANG, EMRE BARUT, Testing for the presence of significant covariates through conditional marginal regression, Biometrika, Vol. 105, No. 1 (MARCH 2018), pp. 57-72 ...