Journal
JOURNAL OF ECONOMETRICS
Volume 143, Issue 1, Pages 88-102Publisher
ELSEVIER SCIENCE SA
DOI: 10.1016/j.jeconom.2007.08.008
Keywords
bootstrap; empirical process; location-scale regression; model diagnostics; nonparametric regression; test for independence; weak convergence
Ask authors/readers for more resources
Consider the location-scale regression model Y = m(X) + sigma(X)epsilon, where the error epsilon is independent of the covariate X, and m and sigma are smooth but unknown functions. We construct tests for the validity of this model and show that the asymptotic limits of the proposed test statistics are distribution free. We also investigate the finite sample properties of the tests through a simulation study, and we apply the tests in the analysis of data on food expenditures. (c) 2007 Elsevier B.V. All rights reserved.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available