Dette, HolgerMarchlewski, Mareen2007-09-052007-09-052007-09-05http://hdl.handle.net/2003/2471110.17877/DE290R-8576We 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).enHomoscedasticityLimiting processParametric formPartial linear regression modelScaled Brownian bridgeTesting004report