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Testing error heterogeneity in censored linear regression

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  • Fan, Caiyun
  • Lu, Wenbin
  • Zhou, Yong

Abstract

In censored linear regression, a key assumption is that the error is independent of predictors. We develop an omnibus test to check error heterogeneity in censored linear regression. Our approach is based on testing the variance component in a working kernel machine regression model. The limiting null distribution of the proposed test statistic is shown to be a weighted sum of independent chi-squared distributions with one degree of freedom. A resampling scheme is derived to approximate the null distribution. The empirical performance of the proposed tests is evaluated via simulation and two real data sets.

Suggested Citation

  • Fan, Caiyun & Lu, Wenbin & Zhou, Yong, 2021. "Testing error heterogeneity in censored linear regression," Computational Statistics & Data Analysis, Elsevier, vol. 161(C).
    • Handle: RePEc:eee:csdana:v:161:y:2021:i:c:s0167947321000414
    DOI: 10.1016/j.csda.2021.107207
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    References listed on IDEAS

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