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A simple test for the parametric form of the variance function in nonparametric regression
Dette, Holger; Hetzler, Benjamin - Institut für Wirtschafts- und Sozialstatistik, … - 2006
In this paper a new test for the parametric form of the variance function in the common nonparametric regression model is proposed which is applicable under very weak smoothness assumptions. The new test is based on an empirical process formed from pseudo residuals, for which weak convergence to...
Persistent link: https://www.econbiz.de/10009216863
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new test for the parametric form of the variance function in nonparametric regression
Dette, Holger; van Keilegom, Ingrid - Institut für Wirtschafts- und Sozialstatistik, … - 2005
type statistic for testing the parametric form of the conditional variance. The finite sample properties of a bootstrap …
Persistent link: https://www.econbiz.de/10009216917
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Testing the parametric form of the volatility in continuous time diffusion models: an empirical process approach
Dette, Holger; Podolskij, Mark - Institut für Wirtschafts- und Sozialstatistik, … - 2005
an asymptotic distribution free test (for the problem of testing for homoscedasticity) and bootstrap tests (for the …
Persistent link: https://www.econbiz.de/10009216921
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For Which Countries did PPP hold? A Multiple Testing Approach
Hanck, Christoph - Institut für Wirtschafts- und Sozialstatistik, … - 2006
exploiting the dependence structure between the countries with a bootstrap approach. We use a sieve bootstrap approach to account …
Persistent link: https://www.econbiz.de/10009216944
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Comparison of separable components in different samples
Neumeyer, Natalie; Sperlich, Stefan - Institut für Wirtschafts- und Sozialstatistik, … - 2003
our approach bootstrap fails in practice and theory. Instead, we propose a subsampling procedure with automatic parameter …
Persistent link: https://www.econbiz.de/10009295183