Authors: Dette, Holger
Wieczorek, Gabriele
Title: Testing for a constant coefficient of variation in nonparametric regression
Language (ISO): en
Abstract: In this paper we propose a new test for the hypothesis of a constant coefficient of variation in the common nonparametric regression model. The test is based on an estimate of the L2- distance between the square of the regression function and variance function. We prove asymptotic normality of a standardized estimate of this distance under the null hypothesis and fixed alternatives and the finite sample properties of a corresponding bootstrap test are investigated by means of a simulation study. The results are applicable to stationary processes with the common mixing conditions and are used to construct tests for ARCH assumptions in financial time series.
Subject Headings: Constant cofficient of variation
Generalized nonparametric regression models
Multiplicative error structure
Nonparametric regression
Stationary processes
URI: http://hdl.handle.net/2003/24903
http://dx.doi.org/10.17877/DE290R-15933
Issue Date: 2007-12-04T14:07:21Z
Appears in Collections:Sonderforschungsbereich (SFB) 475

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