In the common nonparametric regression model, we consider the problem of testing the hypothesis that the coefficient of the scale and location function is constant. The test is based on a comparison of the standardized (by a local linear estimate of the scale function) observations with their...

Consider the nonparametric regression model Y = m(X)+e, where the function m is smooth, but unknown.We construct tests for the independence of e and X, based on n independent copies of (X; Y ).The testing procedures are based on differences of neighboring Y 's.We establish asymptotic results for...

AMS classifications: 62G08, 62G10, 62G20, 62G30; 60F17.

The Newey and West (1987) estimator has become the standard way to estimate a heteroskedasticity and autocorrelation consistent (HAC) covariance matrix, but it does not immediately apply to time series with missing observations. We demonstrate that the intuitive approach to estimate the true...