A high-dimensional Newey-Powell heteroscedasticity test is developed via expectile regression with limiting distribution and asymptotic power obtained through approximate message passing in the n/p to delta regime.
, author Bassett, G
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High-dimensional Newey-Powell Test Via Approximate Message Passing
A high-dimensional Newey-Powell heteroscedasticity test is developed via expectile regression with limiting distribution and asymptotic power obtained through approximate message passing in the n/p to delta regime.