A model specification test for the variance function in nonparametric regression
| Autor: | M. Dolores Jiménez-Gamero, Juan Carlos Pardo-Fernández |
|---|---|
| Rok vydání: | 2018 |
| Předmět: |
0106 biological sciences
Statistics and Probability Economics and Econometrics Applied Mathematics Null (mathematics) Monte Carlo method Asymptotic distribution 010603 evolutionary biology 01 natural sciences Nonparametric regression 010104 statistics & probability Modeling and Simulation Test statistic Applied mathematics 0101 mathematics Null hypothesis Conditional variance Social Sciences (miscellaneous) Analysis Mathematics Variance function |
| Zdroj: | AStA Advances in Statistical Analysis. 103:387-410 |
| ISSN: | 1863-818X 1863-8171 |
| DOI: | 10.1007/s10182-018-00336-y |
| Popis: | The problem of testing for the parametric form of the conditional variance is considered in a fully nonparametric regression model. A test statistic based on a weighted $$L_2$$ -distance between the empirical characteristic functions of residuals constructed under the null hypothesis and under the alternative is proposed and studied theoretically. The null asymptotic distribution of the test statistic is obtained and employed to approximate the critical values. Finite sample properties of the proposed test are numerically investigated in several Monte Carlo experiments. The developed results assume independent data. Their extension to dependent observations is also discussed. |
| Databáze: | OpenAIRE |
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