Tests for independence in non-parametric heteroscedastic regression models |
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Authors: | Zdeněk Hlávka |
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Institution: | a Charles University in Prague, Faculty of Mathematics and Physics, Department of Statistics, Sokolovská 83, 186 75 Prague, Czech Republicb National and Kapodistrian University of Athens, Department of Economics, 8 Pesmazoglou Street, 105 59 Athens, Greece |
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Abstract: | Consistent procedures are constructed for testing independence between the regressor and the error in non-parametric regression models. The tests are based on the Fourier formulation of independence, and utilize the joint and the marginal empirical characteristic functions of the regressor and of estimated residuals. The asymptotic null distribution as well as the behavior of the test statistic under alternatives is investigated. A simulation study compares bootstrap versions of the proposed tests to corresponding procedures utilizing the empirical distribution function. |
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Keywords: | 62G08 62G10 62M10 62G20 |
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