Arbeitspapier
A simple test for the parametric form of the variance function in nonparametric regression
In this paper a new test for the parametric form of the variance function in the common nonparametric regression model is proposed which is applicable under very weak smoothness assumptions. The new test is based on an empirical process formed from pseudo residuals, for which weak convergence to a Gaussian process can be established. In the special case of testing for homoscedasticity the limiting process is essentially a Brownian bridge, such that critical values are easily available. The new procedure has three main advantages. First, in contrast to many other methods proposed in the literature, it does not depend directly on a smoothing parameter. Secondly, it can detect local alternatives converging to the null hypothesis at a rate n-?=2: Thirdly, in contrast to most of the currently available tests, it does not require strong smoothness assumptions regarding the regression and variance function. We also present a simulation study and compare the tests with the procedures that are currently available for this problem and require the same minimal assumptions.
- Language
-
Englisch
- Bibliographic citation
-
Series: Technical Report ; No. 2006,07
- Subject
-
Homoscedasticity
nonparametric regression
pseudo residuals
empirical process
goodness-of-fit testing
bootstrap
- Event
-
Geistige Schöpfung
- (who)
-
Dette, Holger
Hetzler, Benjamin
- Event
-
Veröffentlichung
- (who)
-
Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
- (where)
-
Dortmund
- (when)
-
2006
- Handle
- Last update
- 10.03.2025, 11:45 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Dette, Holger
- Hetzler, Benjamin
- Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
Time of origin
- 2006
Other Objects (12)
new test for the parametric form of the variance function in nonparametric regression
A simple test for the parametric form of the variance function in nonparametric regression
On the estimation of a monotone conditional variance in nonparametric regression
A test for the parametric form of the variance function in apartial linear regression model
Testing strict monotonicity in nonparametric regression
A power comparison between nonparametric regression tests
Estimating a convex function in nonparametric regression
Nonparametric comparison of regression curves - an empirical process approach
Testing for symmetric error distribution in nonparametric regression models
Some methodological aspects of validation of models in nonparametric regression
Testing for a constant coefficient of variation in nonparametric regression
Strictly monotone and smooth nonparametric regression for two or more variables
new test for the parametric form of the variance function in nonparametric regression
A simple test for the parametric form of the variance function in nonparametric regression
On the estimation of a monotone conditional variance in nonparametric regression
A test for the parametric form of the variance function in apartial linear regression model
Testing strict monotonicity in nonparametric regression
A power comparison between nonparametric regression tests
Estimating a convex function in nonparametric regression
Nonparametric comparison of regression curves - an empirical process approach
Testing for symmetric error distribution in nonparametric regression models
Some methodological aspects of validation of models in nonparametric regression
Testing for a constant coefficient of variation in nonparametric regression
Strictly monotone and smooth nonparametric regression for two or more variables
new test for the parametric form of the variance function in nonparametric regression
A simple test for the parametric form of the variance function in nonparametric regression
On the estimation of a monotone conditional variance in nonparametric regression
A test for the parametric form of the variance function in apartial linear regression model
Testing strict monotonicity in nonparametric regression
A power comparison between nonparametric regression tests
Estimating a convex function in nonparametric regression
Nonparametric comparison of regression curves - an empirical process approach
Testing for symmetric error distribution in nonparametric regression models
Some methodological aspects of validation of models in nonparametric regression
Testing for a constant coefficient of variation in nonparametric regression