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 |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
tr36-07.pdf | DNB | 233.28 kB | Adobe PDF | View/Open |
This item is protected by original copyright |
This item is protected by original copyright rightsstatements.org