In the common nonparametric regression model the problem of testing for the parametric form of the conditional variance is considered. A stochastic process based on the difference between the empirical processes obtained from the standardized nonparametric residuals under the null hypothesis (of...

We consider a semiparametric transformation model, in which the regression function has an additive nonparametric structure and the transformation of the response is assumed to belong to some parametric family. We suppose that endogeneity is present in the explanatory variables. Using a control...

A number of tests have been proposed for assessing the location-scale assumption that is often invoked by practitioners. Existing approaches include Kolmogorov-Smirnov and Cramer-von-Mises statistics that each involve measures of divergence between unknown joint distribution functions and...