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Testing for constant variance in a linear model

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  • Diblasi, Angela
  • Bowman, Adrian
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    Abstract

    A nonparametric test of constant variance for the errors in a linear model is constructed through nonparametric smoothing of the residuals on a suitably transformed scale. Standard results on quadratic forms allow accurate distributional calculations to be made.

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    Bibliographic Info

    Article provided by Elsevier in its journal Statistics & Probability Letters.

    Volume (Year): 33 (1997)
    Issue (Month): 1 (April)
    Pages: 95-103

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    Handle: RePEc:eee:stapro:v:33:y:1997:i:1:p:95-103

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    Related research

    Keywords: Homoscedasticity Linear model Nonparametric regression Quadratic form Reference band Variance;

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    Cited by:
    1. Holger Dette & Benjamin Hetzler, 2009. "A simple test for the parametric form of the variance function in nonparametric regression," Annals of the Institute of Statistical Mathematics, Springer, vol. 61(4), pages 861-886, December.
    2. Wong, Heung & Liu, Feng & Chen, Min & Ip, Wai Cheung, 2009. "Empirical likelihood based diagnostics for heteroscedasticity in partial linear models," Computational Statistics & Data Analysis, Elsevier, vol. 53(9), pages 3466-3477, July.
    3. Samarakoon, Nishantha & Song, Weixing, 2011. "Minimum distance conditional variance function checking in heteroscedastic regression models," Journal of Multivariate Analysis, Elsevier, vol. 102(3), pages 579-600, March.
    4. Dette, Holger & Hetzler, Benjamin, 2006. "A simple test for the parametric form of the variance function in nonparametric regression," Technical Reports 2006,07, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    5. Dette, Holger & van Keilegom, Ingrid, 2005. "new test for the parametric form of the variance function in nonparametric regression," Technical Reports 2005,32, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    6. Jin-Guan Lin & Li-Xing Zhu & Feng-Chang Xie, 2009. "Heteroscedasticity diagnostics for t linear regression models," Metrika, Springer, vol. 70(1), pages 59-77, June.
    7. Xie, Feng-Chang & Wei, Bo-Cheng & Lin, Jin-Guan, 2009. "Homogeneity diagnostics for skew-normal nonlinear regression models," Statistics & Probability Letters, Elsevier, vol. 79(6), pages 821-827, March.
    8. Dette, Holger & Marchlewski, Mareen, 2007. "A test for the parametric form of the variance function in apartial linear regression model," Technical Reports 2007,26, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    9. Dette, Holger & Hetzler, Benjamin, 2006. "A simple test for the parametric form of the variance function in nonparametric regression," Technical Reports 2005,53, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.

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