Develops deconvolution-based integrated conditional moment tests for heteroskedasticity under known or repeated-measurement error distributions, with multiplier bootstrap critical values.
C Proofs of Theorems Proof of Theorem 3.1.We start be decomposing Sn(ξ, θn, σ2 n) =S n(ξ, θ0, σ2
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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.