Develops deconvolution-based integrated conditional moment tests for heteroskedasticity under known or repeated-measurement error distributions, with multiplier bootstrap critical values.
Together with conclusions in Lemma D.5 and D.7, sup ξ∈Π √nSn1(ξ, θn) =o p (1) (C.4) and sup ξ∈Π √nSn2(ξ, σ2 n)− f ft X(ξ)√n nX i=1 {r1,∞(di; 0)−E[r 1,∞(di; 0)]} =o p (1) (C.5) hold
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Testing Heteroskedasticity Under Measurement Error
Develops deconvolution-based integrated conditional moment tests for heteroskedasticity under known or repeated-measurement error distributions, with multiplier bootstrap critical values.