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Testing increasing dispersion

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  • Hardle, W.
  • Park, B. U.

Abstract

Increasing dispersion in regression analysis means that with positive changes of the explanatory variable the residual variance increases. Motivated by theoretical questions in stability of demand systems we consider the question of increasing dispersion in a nonparameteric way. It amounts to testing the positive definiteness of differences of covariance matrices. The asymptotic distribution of the smallest eigenvalue of this difference is rather complicated that is why we also apply bootstrapping. The proposed method is applied to family expenditure data from the United Kingdom.

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Bibliographic Info

Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

Volume (Year): 19 (1995)
Issue (Month): 6 (June)
Pages: 641-653

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Handle: RePEc:eee:csdana:v:19:y:1995:i:6:p:641-653

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  1. Wolfgang Härdle & Werner Hildenbrand & Michael Jerison, 1989. "Empirical Evidence on the Law of Demand," Discussion Paper Serie A 264a, University of Bonn, Germany.
  2. Oliver LINTON, . "Applied nonparametric methods," Statistic und Oekonometrie 9312, Humboldt Universitaet Berlin.
  3. James Stephen MARRON & Wolfgang HAERDLE, . "Fast and simple scatterplot smoothing," Statistic und Oekonometrie 9308, Humboldt Universitaet Berlin.
  4. Hall, Peter & Hardle, Wolfgang & Simar, Leopold, 1993. "On the inconsistency of bootstrap distribution estimators," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 16(1), pages 11-18, June.
  5. Haerdle,W. & Hart,J.D., 1989. "A bootstrap test forpositive definiteness of income effect matrices," Discussion Paper Serie A 199, University of Bonn, Germany.
  6. Hardle, W., 1992. "Applied Nonparametric Methods," Discussion Paper, Tilburg University, Center for Economic Research 1992-6, Tilburg University, Center for Economic Research.
  7. Robinson, P M, 1987. "Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form," Econometrica, Econometric Society, Econometric Society, vol. 55(4), pages 875-91, July.
  8. repec:cup:etheor:v:8:y:1992:i:2:p:276-90 is not listed on IDEAS
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