A consistent test for heteroscedasticity in semi-parametric regression with nonparametric variance function based on the kernel method

作者：Lin, Jin-Guan^*; Qu, Xiao-Yi

来源：Statistics, 2012, 46(5): 565-576.

DOI：10.1080/02331888.2010.543464

• heteroscedasticity test
• nonlinear semi-parametric regression model
• asymptotic normality
• power simulation

It is important to detect the variance heterogeneity in regression models. Heteroscedasticity tests have been well studied in parametric and nonparametric regression models. This paper presents a consistent test for heteroscedasticity for nonlinear semi-parametric regression models with nonparametric variance function based on the kernel method. The properties of the test are investigated through Monte Carlo simulations. The test methods are illustrated with a real example.

• 出版日期2012
• 单位东南大学; 苏州科技大学