Arbeitspapier
A martingale-transform goodness-of-fit test for the form of the conditional variance
In the common nonparametric regression model the problem of testing for a specific parametric form of the variance function is considered. Recently Dette and Hetzler (2008) proposed a test statistic, which is based on an empirical process of pseudo residuals. The process converges weakly to a Gaussian process with a complicated covariance kernel depending on the data generating process. In the present paper we consider a standardized version of this process and propose a martingale transform to obtain asymptotically distribution free tests for the corresponding Kolmogorov-Smirnov and Cramer-von-Mises functionals. The finite sample properties of the proposed tests are investigated by means of a simulation study.
- Language
-
Englisch
- Bibliographic citation
-
Series: Technical Report ; No. 2008,07
- Subject
-
nonparametric regression
goodness-of-it test
martingale transform
conditional variance
- Event
-
Geistige Schöpfung
- (who)
-
Dette, Holger
Hetzler, Benjamin
- Event
-
Veröffentlichung
- (who)
-
Technische Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
- (where)
-
Dortmund
- (when)
-
2008
- Handle
- Last update
-
10.03.2025, 11:45 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the 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
- Technische Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
Time of origin
- 2008
Other Objects (12)
On the estimation of a monotone conditional variance in nonparametric regression
Goodness-of-fit tests for multiplicativemodels with dependent data
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
A simple test for the parametric form of the variance function in nonparametric regression
A test for the parametric form of the variance function in apartial linear regression model
A martingale-transform goodness-of-fit test for the form of the conditional variance
Optimal design for goodness-of-fit of the Michaelis-Menten enzyme kinetic function
Estimation of integrated volatility in continuous time financial models with applications to goodness-of-fit testing
On robust and efficient designs for risk estimation in epidemiologic studies
Canonical moments, orthogonal polynomials with application to statistics
Strong approximation of eigenvalues of large dimensional Wishart matrices by roots of generalized Laguerre polynomials
On the estimation of a monotone conditional variance in nonparametric regression
Goodness-of-fit tests for multiplicativemodels with dependent data
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
A simple test for the parametric form of the variance function in nonparametric regression
A test for the parametric form of the variance function in apartial linear regression model
A martingale-transform goodness-of-fit test for the form of the conditional variance
Optimal design for goodness-of-fit of the Michaelis-Menten enzyme kinetic function
Estimation of integrated volatility in continuous time financial models with applications to goodness-of-fit testing
On robust and efficient designs for risk estimation in epidemiologic studies
Canonical moments, orthogonal polynomials with application to statistics
Strong approximation of eigenvalues of large dimensional Wishart matrices by roots of generalized Laguerre polynomials
On the estimation of a monotone conditional variance in nonparametric regression
Goodness-of-fit tests for multiplicativemodels with dependent data
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
A simple test for the parametric form of the variance function in nonparametric regression
A test for the parametric form of the variance function in apartial linear regression model
A martingale-transform goodness-of-fit test for the form of the conditional variance
Optimal design for goodness-of-fit of the Michaelis-Menten enzyme kinetic function
Estimation of integrated volatility in continuous time financial models with applications to goodness-of-fit testing
On robust and efficient designs for risk estimation in epidemiologic studies
Canonical moments, orthogonal polynomials with application to statistics