{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,2]],"date-time":"2026-10-02T00:10:12Z","timestamp":1790899812129,"version":"4.1.0"},"reference-count":30,"publisher":"Cambridge University Press (CUP)","issue":"1","license":[{"start":{"date-parts":[[2012,7,6]],"date-time":"2012-07-06T00:00:00Z","timestamp":1341532800000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2013,2]]},"abstract":"<jats:p>In this paper we propose a new nonparametric test for conditional heteroskedasticity based on a measure of nonparametric goodness-of-fit (R<jats:sup>2<\/jats:sup>) that is obtained from the local polynomial regression of the residuals from a parametric regression on some covariates. We show that after being appropriately standardized, the nonparametric R<jats:sup>2<\/jats:sup> is asymptotically normally distributed under the null hypothesis and a sequence of Pitman local alternatives. We also prove the consistency of the test and propose a bootstrap method to obtain the bootstrap <jats:italic>p<\/jats:italic>-values. We conduct a small set of simulations and compare our test with some popular parametric and nonparametric tests in the literature.<\/jats:p>","DOI":"10.1017\/s0266466612000278","type":"journal-article","created":{"date-parts":[[2012,7,6]],"date-time":"2012-07-06T11:53:53Z","timestamp":1341575633000},"page":"187-212","source":"Crossref","is-referenced-by-count":28,"title":["A NONPARAMETRIC GOODNESS-OF-FIT-BASED TEST FOR CONDITIONAL HETEROSKEDASTICITY"],"prefix":"10.1017","volume":"29","author":[{"given":"Liangjun","family":"Su","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Aman","family":"Ullah","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2012,7,6]]},"reference":[{"key":"S0266466612000278_ref12","doi-asserted-by":"crossref","first-page":"93","DOI":"10.1016\/S0304-4076(99)00068-8","article-title":"Testing for structural change in 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