Various Approaches to Szroeter’s Test for Regression Quantiles

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Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Various Approaches to Szroeter’s Test for Regression Quantiles

Popis výsledku v původním jazyce

Regression quantiles represent an important tool for regression analysis popular in econometric applications, for example for the task of detecting heteroscedasticity in the data. Nevertheless, they need to be accompanied by diagnostic tools for verifying their assumptions. The paper is devoted to heteroscedasticity testing for regression quantiles, while their most important special case is commonly denoted as the regression median. Szroeter’s test, which is one of available heteroscedasticity tests for the least squares, is modified here for the regression median in three different ways: (1) asymptotic test based on the asymptotic representation for regression quantiles, (2) permutation test based on residuals, and (3) exact approximate test, which has a permutation character and represents an approximation to an exact test. All three approaches can be computed in a straightforward way and their principles can be extended also to other heteroscedasticity tests. The theoretical results are expected to be extended to other regression quantiles and mainly to multivariate quantiles.

Název v anglickém jazyce

Various Approaches to Szroeter’s Test for Regression Quantiles

Popis výsledku anglicky

Regression quantiles represent an important tool for regression analysis popular in econometric applications, for example for the task of detecting heteroscedasticity in the data. Nevertheless, they need to be accompanied by diagnostic tools for verifying their assumptions. The paper is devoted to heteroscedasticity testing for regression quantiles, while their most important special case is commonly denoted as the regression median. Szroeter’s test, which is one of available heteroscedasticity tests for the least squares, is modified here for the regression median in three different ways: (1) asymptotic test based on the asymptotic representation for regression quantiles, (2) permutation test based on residuals, and (3) exact approximate test, which has a permutation character and represents an approximation to an exact test. All three approaches can be computed in a straightforward way and their principles can be extended also to other heteroscedasticity tests. The theoretical results are expected to be extended to other regression quantiles and mainly to multivariate quantiles.

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

10201 - Computer sciences, information science, bioinformathics (hardware development to be 2.2, social aspect to be 5.8)

Projekt

<a href="/cs/project/GA17-07384S" target="_blank" >GA17-07384S: Neparametrické (statistické) metody v moderní ekonometrii</a><br>

Návaznosti

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

Rok uplatnění

2017

Kód důvěrnosti údajů

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

Název statě ve sborníku

Proceedings of the 11th International Scientific Conference INPROFORUM: Innovations, Enterprises, Regions and Management

ISBN

978-80-7394-667-8

ISSN

2336-6788

e-ISSN

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Počet stran výsledku

5

Strana od-do

361-365

Název nakladatele

University of South Bohemia in České Budějovice

Místo vydání

České Budějovice

Místo konání akce

České Budějovice

Datum konání akce

9. 11. 2017

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

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