Authors: Dette, Holger
Marchlewski, Mareen
Title: A test for the parametric form of the variance function in a partial linear regression model
Language (ISO): en
Abstract: We consider the problem of testing for a parametric form of the variance function in a partial linear regression model. A new test is derived, which can detect local alternatives converging to the null hypothesis at a rate n-1/2 and is based on a stochastic process of the integrated variance function. We establish weak convergence to a Gaussian process under the null hypothesis, fixed and local alternatives. In the special case of testing for homoscedasticity the limiting process is a scaled Brownian bridge. We also compare the finite sample properties with a test based on an L2-distance, which was recently proposed by You and Chen (2005).
Subject Headings: Homoscedasticity
Limiting process
Parametric form
Partial linear regression model
Scaled Brownian bridge
Testing
URI: http://hdl.handle.net/2003/24711
http://dx.doi.org/10.17877/DE290R-8576
Issue Date: 2007-09-05T12:46:49Z
Appears in Collections:Sonderforschungsbereich (SFB) 475

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