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arXiv · 1603.03830

Homoscedasticity tests for both low and high-dimensional fixed design regressions

Zhidong Bai·Guangming Pan·Yanqing Yin
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Abstract

This paper is to prove the asymptotic normality of a statistic for detecting the existence of heteroscedasticity for linear regression models without assuming randomness of covariates when the sample size $n$ tends to infinity and the number of covariates $p$ is either fixed or tends to infinity. Moreover our approach indicates that its asymptotic normality holds even without homoscedasticity.

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Zhidong Bai, Guangming Pan, Yanqing Yin. 2016-03-12. Homoscedasticity tests for both low and high-dimensional fixed design regressions. https://doi.org/10.1007/s11749-017-0575-x

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