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Testing increasing dispersion

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  • B.U.PARK
  • Wolfgang HAERDLE

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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Paper provided by Humboldt Universitaet Berlin in its series Statistic und Oekonometrie with number 9314.

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Handle: RePEc:wop:humbse:9314

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  1. Hardle, W., 1992. "Applied Nonparametric Methods," Papers 9204, Catholique de Louvain - Institut de statistique.
  2. 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).
  3. 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.
  4. Hardle, Wolfgang & Hildenbrand, Werner & Jerison, Michael, 1991. "Empirical Evidence on the Law of Demand," Econometrica, Econometric Society, vol. 59(6), pages 1525-49, November.
  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. 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.
  7. repec:cup:etheor:v:8:y:1992:i:2:p:276-90 is not listed on IDEAS
  8. Oliver LINTON, . "Applied nonparametric methods," Statistic und Oekonometrie 9312, Humboldt Universitaet Berlin.
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