A test for the parametric form of the variance function in a partial linear regression model
| dc.contributor.author | Dette, Holger | |
| dc.contributor.author | Marchlewski, Mareen | |
| dc.date.accessioned | 2007-09-05T12:46:49Z | |
| dc.date.available | 2007-09-05T12:46:49Z | |
| dc.date.issued | 2007-09-05T12:46:49Z | |
| dc.description.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). | en |
| dc.identifier.uri | http://hdl.handle.net/2003/24711 | |
| dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-8576 | |
| dc.language.iso | en | |
| dc.subject | Homoscedasticity | en |
| dc.subject | Limiting process | de |
| dc.subject | Parametric form | en |
| dc.subject | Partial linear regression model | en |
| dc.subject | Scaled Brownian bridge | en |
| dc.subject | Testing | en |
| dc.subject.ddc | 004 | |
| dc.title | A test for the parametric form of the variance function in a partial linear regression model | en |
| dc.type | Text | |
| dc.type.publicationtype | report | en |
| dcterms.accessRights | open access |