Testing for a constant coefficient of variation in nonparametric regression
| dc.contributor.author | Dette, Holger | |
| dc.contributor.author | Wieczorek, Gabriele | |
| dc.date.accessioned | 2007-12-04T14:07:21Z | |
| dc.date.available | 2007-12-04T14:07:21Z | |
| dc.date.issued | 2007-12-04T14:07:21Z | |
| dc.description.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. | en |
| dc.identifier.uri | http://hdl.handle.net/2003/24903 | |
| dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-15933 | |
| dc.language.iso | en | de |
| dc.subject | Constant cofficient of variation | en |
| dc.subject | Generalized nonparametric regression models | en |
| dc.subject | Multiplicative error structure | en |
| dc.subject | Nonparametric regression | en |
| dc.subject | Stationary processes | en |
| dc.subject.ddc | 004 | |
| dc.title | Testing for a constant coefficient of variation in nonparametric regression | en |
| dc.type | Text | de |
| dc.type.publicationtype | report | en |
| dcterms.accessRights | open access |