Rank tests in heteroscedastic linear model with nuisance parameters

In the linear regression model with heteroscedastic errors, we propose nonparametric tests for regression under nuisance heteroscedasticity, and tests for heteroscedasticity under nuisance regression. Both types of tests are based on suitable ancillary statistics for the nuisance parameters; hence t...

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Bibliographic Details
Published in:Metrika 2014-04, Vol.77 (3), p.433-450
Main Authors: Jurečková, Jana, Navrátil, Radim
Format: Article
Language:English
Subjects:
Economic Theory/Quantitative Economics/Mathematical Methods
Mathematics and Statistics
Probability Theory and Stochastic Processes
Statistics
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Summary:In the linear regression model with heteroscedastic errors, we propose nonparametric tests for regression under nuisance heteroscedasticity, and tests for heteroscedasticity under nuisance regression. Both types of tests are based on suitable ancillary statistics for the nuisance parameters; hence they avoid their estimation, in contradistinction to tests proposed in the literature. A simulation study, as well as an application of tests to real data, illustrate their good performance.
ISSN:0026-1335
1435-926X
DOI:10.1007/s00184-013-0447-7