Authors: | Dette, Holger Neumeyer, Natalie |
Title: | Testing for Symmetric Error Distribution in Nonparametric Regression Models |
Language (ISO): | en |
Abstract: | For the problem of testing symmetry of the error distribution in a nonparametric regression model we propose as a test statistic the difference between the two empirical distribution functions of estimated residuals and their counterparts with opposite signs. The weak convergence of the difference process to a Gaussian process is shown. The covariance structure of this process depends heavily on the density of the error distribution, and for this reason the performance of a symmetric wild bootstrap procedure is discussed in asymptotic theory and by means of a simulation study. In contrast to the available procedures the new test is also applicable under heteroscedasticity. |
Subject Headings: | empirical process of residuals testing for symmetry nonparametric regression |
URI: | http://hdl.handle.net/2003/4973 http://dx.doi.org/10.17877/DE290R-15099 |
Issue Date: | 2003 |
Provenance: | Universitätsbibliothek Dortmund |
Appears in Collections: | Sonderforschungsbereich (SFB) 475 |
Files in This Item:
File | Description | Size | Format | |
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11_03.pdf | DNB | 179.12 kB | Adobe PDF | View/Open |
tr11-03.ps | 365.3 kB | Postscript | View/Open |
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