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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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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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Web page: http://www.elsevier.com/locate/csda

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Find related papers by JEL classification:

• G35 - Financial Economics - - Corporate Finance and Governance - - - Payout Policy
• G20 - Financial Economics - - Financial Institutions and Services - - - General

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1. Hall, P. & Hardle, W. & Simar, L., 1991. "On teh inconsistency of bootstrap distribution estimators," CORE Discussion Papers 1991020, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
   
   • Hall, Peter & Hardle, Wolfgang & Simar, Leopold, 1993. "On the inconsistency of bootstrap distribution estimators," Computational Statistics & Data Analysis, Elsevier, vol. 16(1), pages 11-18, June.
2. Hardle, W. & Marron, J. S., 1995. "Fast and simple scatterplot smoothing," Computational Statistics & Data Analysis, Elsevier, vol. 20(1), pages 1-17, July.
   
   • James Stephen MARRON & Wolfgang HAERDLE, . "Fast and simple scatterplot smoothing," Statistic und Oekonometrie 9308, Humboldt Universitaet Berlin.
   • Hardle, W. & Marron, A., 1991. "Fast and simple scatterplot smoothing," CORE Discussion Papers 1991043, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
   • Wolfgang HÄRDLE & James S. MARRON, 1994. "Fast and Simple Scatterplot Smoothing," SFB 373 Discussion Papers 1994,8, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
3. Hardle, W., 1992. "Applied Nonparametric Methods," Discussion Paper 1992-6, Tilburg University, Center for Economic Research.
   
   • Hardle, Wolfgang & Linton, Oliver, 1986. "Applied nonparametric methods," Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 38, pages 2295-2339 Elsevier.
   • Hardle, W., 1992. "Applied Nonparametric Methods," Papers 9204, Catholique de Louvain - Institut de statistique.
   • HÄRDLE, Wolfgang, 1992. "Applied nonparametric methods," CORE Discussion Papers 1992003, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
   • Wolfgang Hardle & Oliver Linton, 1994. "Applied Nonparametric Methods," Cowles Foundation Discussion Papers 1069, Cowles Foundation for Research in Economics, Yale University.
   • Hardle, W., 1992. "Applied Nonparametric Methods," Papers 9206, Tilburg - Center for Economic Research.
4. Oliver LINTON, . "Applied nonparametric methods," Statistic und Oekonometrie 9312, Humboldt Universitaet Berlin.
   
   • Hardle, Wolfgang & Linton, Oliver, 1986. "Applied nonparametric methods," Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 38, pages 2295-2339 Elsevier.
   • Wolfgang Hardle & Oliver Linton, 1994. "Applied Nonparametric Methods," Cowles Foundation Discussion Papers 1069, Cowles Foundation for Research in Economics, Yale University.
5. Wolfgang Härdle & Werner Hildenbrand & Michael Jerison, 1989. "Empirical Evidence on the Law of Demand," Discussion Paper Serie A 264a, University of Bonn, Germany.
   
   • Hardle, Wolfgang & Hildenbrand, Werner & Jerison, Michael, 1991. "Empirical Evidence on the Law of Demand," Econometrica, Econometric Society, vol. 59(6), pages 1525-49, November.
   • Haerdle,W. Hildenbrand,W. Jerison,M., 1988. "Empirical evidence on the law of demand," Discussion Paper Serie A 193, University of Bonn, Germany.
6. Haerdle,W. & Hart,J.D., 1989. "A bootstrap test forpositive definiteness of income effect matrices," Discussion Paper Serie A 199, University of Bonn, Germany.
   
   • Härdle, Wolfgang & Hart, Jeffrey D., 1992. "A Bootstrap Test for Positive Definiteness of Income Effect Matrices," Econometric Theory, Cambridge University Press, vol. 8(02), pages 276-292, June.
   • Hardle, W. & Hart, J., 1990. "A bootstrap test for positive definiteness of income effect matrices," CORE Discussion Papers 1990053, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
7. Robinson, P M, 1987. "Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form," Econometrica, 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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