Tests for heteroskedasticity in transformation models

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Tests for heteroskedasticity in transformation models

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Tests for heteroskedasticity in transformation models

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

10103 - Statistics and probability

Projekt

<a href="/cs/project/GA18-08888S" target="_blank" >GA18-08888S: Dvouvýběrový bod změny</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2022

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Statistical Papers

ISSN

0932-5026

e-ISSN

1613-9798

Svazek periodika

63

Číslo periodika v rámci svazku

4

Stát vydavatele periodika

DE - Spolková republika Německo

Počet stran výsledku

37

Strana od-do

1013-1049

Kód UT WoS článku

000705710400001

EID výsledku v databázi Scopus

2-s2.0-85116581417