Tests for heteroskedasticity in transformation models
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F22%3A10452445" target="_blank" >RIV/00216208:11320/22:10452445 - isvavai.cz</a>
Result on the web
<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=U6TFtlARMh" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=U6TFtlARMh</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1007/s00362-021-01267-8" target="_blank" >10.1007/s00362-021-01267-8</a>
Alternative languages
Result language
angličtina
Original language name
Tests for heteroskedasticity in transformation models
Original language description
We consider a model whereby a given response variable Y following a transformation Y := T (Y), satisfies some classical regression equation. In this transformation model the form of the transformation is specified analytically but incorporates an unknown transformation parameter. We develop testing procedures for the null hypothesis of homoskedasticity for versions of this model where the regression function is considered either known or unknown. The test statistics are formulated on the basis of Fourier-type conditional contrasts of a variance computed under the null hypothesis against the same quantity computed under alternatives. The limit null distribution of the test statistic is studied, as well as the behaviour of the test criterion under alternatives. Since the limit null distribution is complicated, a bootstrap version is suggested in order to actually carry out the test procedures. Monte Carlo results are included that illustrate the finite-sample properties of the new method. The applicability of the new tests on real data is also illustrated.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
10103 - Statistics and probability
Result continuities
Project
<a href="/en/project/GA18-08888S" target="_blank" >GA18-08888S: Two-sample change-point</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2022
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Statistical Papers
ISSN
0932-5026
e-ISSN
1613-9798
Volume of the periodical
63
Issue of the periodical within the volume
4
Country of publishing house
DE - GERMANY
Number of pages
37
Pages from-to
1013-1049
UT code for WoS article
000705710400001
EID of the result in the Scopus database
2-s2.0-85116581417