Adam Hayes, Ph.D., CFA, is a financial writer with 15+ years Wall Street experience as a derivatives trader. Besides his extensive derivative trading expertise, Adam is an expert in economics and ...

The Canadian Journal of Statistics / La Revue Canadienne de Statistique Threshold autoregressive models are widely used in time-series applications. When building or using such a model, it is ...

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 ...

Doss, Charles R., and Edward McFowland III. "Nonparametric Subset Scanning for Detection of Heteroscedasticity." Journal of Computational and Graphical Statistics 31, no. 3 (2022): 813–823.

The SPEC option performs a model specification test. The null hypothesis for this test maintains that the errors are homoscedastic, independent of the regressors and that several technical assumptions ...