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A consistent test for heteroscedasticity in semi-parametric regression with nonparametric variance function based on the kernel method |
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| Authors: | Jin-Guan Lin Xiao-Yi Qu |
| Affiliation: | 1. Department of Mathematics , Southeast University , Nanjing , 210096 , People's Republic of China jglin@seu.edu.cn;3. Suzhou Institute for Scientific and Technology Information , Suzhou , 215002 , People's Republic of China |
| Abstract: | 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. |
| Keywords: | heteroscedasticity test nonlinear semi-parametric regression model asymptotic normality power simulation |