Heteroscedasticity testing for regression models: A dimension reduction-based model adaptive approach

Xuehu Zhu, Fei Chen, Xu Guo, Lixing Zhu

Research output: Contribution to journalArticle

12 Scopus citations

Abstract

Heteroscedasticity testing is of importance in regression analysis. Existing local smoothing tests suffer severely from curse of dimensionality even when the number of covariates is moderate because of use of nonparametric estimation. A dimension reduction-based model adaptive test is proposed which behaves like a local smoothing test as if the number of covariates was equal to the number of their linear combinations in the mean regression function, in particular, equal to 1 when the mean function contains a single index. The test statistic is asymptotically normal under the null hypothesis such that critical values are easily determined. The finite sample performances of the test are examined by simulations and a real data analysis.

Original languageEnglish (US)
Pages (from-to)263-283
Number of pages21
JournalComputational Statistics and Data Analysis
Volume103
DOIs
StatePublished - Nov 1 2016

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Computational Mathematics
  • Computational Theory and Mathematics
  • Applied Mathematics

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