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 |
Files in This Item:
File | Description | Size | Format | |
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TR_26-dette.pdf | DNB | 238.73 kB | Adobe PDF | View/Open |
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