Testing for heteroscedasticity is a common diagnostic practice in regression analysis. Depending upon the outcome of the test, the model is either estimated by OLS or WLS. The results of a Monte Carlo ...
One of the key assumptions of the ordinary regression model is that the errors have the same variance throughout the sample. This is also called the homoscedasticity ...
Journal of the Royal Statistical Society. Series B (Statistical Methodology), Vol. 80, No. 5 (2018), pp. 975-993 (19 pages) Estimating conditional quantiles of financial time series is essential for ...
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