A simple test for the parametric form of the variance function in nonparametric regression

DOI10.1007/s10463-008-0169-1zbMath1332.62131OpenAlexW1984262719MaRDI QIDQ904052

Benjamin Hetzler, Dette, Holger

Publication date: 15 January 2016

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2003/21755

zbMATH Keywords

bootstrapempirical processnonparametric regressionhomoscedasticitygoodness-of-fit testingpseudo residuals

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20)

Related Items (18)

Distribution-free testing in linear and parametric regression ⋮ Estimating the Conditional Error Distribution in Non-parametric Regression ⋮ Scale Checks in Censored Regression ⋮ Conditional variance model checking ⋮ Empirical smoothing lack-of-fit tests for variance function ⋮ Minimum distance conditional variance function checking in heteroscedastic regression models ⋮ Bandwidth choice for robust nonparametric scale function estimation ⋮ On the choice of difference sequence in a unified framework for variance estimation in nonparametric regression ⋮ A robust test for homoscedasticity in nonparametric regression ⋮ On a robust local estimator for the scale function in heteroscedastic nonparametric regression ⋮ Testing Linear Regression Models in Non Regular Case ⋮ Khmaladze transformation of integrated variance processes with applications to goodness-of-fit testing ⋮ A nonparametric hypothesis test for heteroscedasticity ⋮ Test for heteroscedasticity in partially linear regression models ⋮ A model specification test for the variance function in nonparametric regression ⋮ Evaluating the adequacy of variance function using pairwise distances ⋮ A consistent test for heteroscedasticity in semi-parametric regression with nonparametric variance function based on the kernel method ⋮ Distribution-free tests of conditional moment inequalities

Uses Software

• nlmdl

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