Heteroscedasticity checks for regression models

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	Heteroscedasticity checks for regression models
	Zhu, LX ; Fujikoshi, Y ; Naito, K
	2001-10-01
发表期刊	SCIENCE IN CHINA SERIES A-MATHEMATICS PHYSICS ASTRONOMY
ISSN	1006-9283
卷号	44 期号:10 页码:1236-1252
摘要	For checking on heteroscedasticity in regression models, a unified approach is proposed to constructing test statistics in parametric and nonparametric regression models. For nonparametric regression, the test is not affected sensitively by the choice of smoothing parameters which are involved in estimation of the nonparametric regression function. The limiting null distribution of the test statistic remains the same in a wide range of the smoothing parameters. When the covariate is one-dimensional, the tests are, under some conditions, asymptotically distribution-free. In the high-dimensional cases, the validity of bootstrap approximations is investigated. It is shown that a variant of the wild bootstrap is consistent while the classical bootstrap is not in the general case, but is applicable if some extra assumption on conditional variance of the squared error is imposed. A simulation study is performed to provide evidence of how the tests work and compare with tests that have appeared in the literature. The approach may readily be extended to handle partial linear, and linear autoregressive models.
关键词	bootstrap empirical process heteroscedasticity
语种	英语
WOS研究方向	Mathematics
WOS类目	Mathematics, Applied ; Mathematics
WOS记录号	WOS:000172008800002
出版者	SCIENCE PRESS
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/16334
专题	中国科学院数学与系统科学研究院
通讯作者	Zhu, LX
作者单位	1.Chinese Acad Sci, Inst Appl Math, Acad Math & Syst Sci, Beijing 100080, Peoples R China 2.Univ Hong Kong, Dept Stat & Actuarial Sci, Hong Kong, Hong Kong, Peoples R China 3.Hiroshima Univ, Dept Math, Hiroshima 730, Japan
推荐引用方式 GB/T 7714	Zhu, LX,Fujikoshi, Y,Naito, K. Heteroscedasticity checks for regression models[J]. SCIENCE IN CHINA SERIES A-MATHEMATICS PHYSICS ASTRONOMY,2001,44(10):1236-1252.
APA	Zhu, LX,Fujikoshi, Y,&Naito, K.(2001).Heteroscedasticity checks for regression models.SCIENCE IN CHINA SERIES A-MATHEMATICS PHYSICS ASTRONOMY,44(10),1236-1252.
MLA	Zhu, LX,et al."Heteroscedasticity checks for regression models".SCIENCE IN CHINA SERIES A-MATHEMATICS PHYSICS ASTRONOMY 44.10(2001):1236-1252.