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Testing increasing dispersion

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  • Wolfgang HÄRDLE
  • Byeong PARK

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

Paper provided by Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes in its series SFB 373 Discussion Papers with number 1994,2.

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Date of creation: 1994
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Handle: RePEc:zbw:sfb373:19942

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  1. 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.
  2. Haerdle,W. & Hart,J.D., 1989. "A bootstrap test forpositive definiteness of income effect matrices," Discussion Paper Serie A 199, University of Bonn, Germany.
  3. James Stephen MARRON & Wolfgang HAERDLE, . "Fast and simple scatterplot smoothing," Statistic und Oekonometrie 9308, Humboldt Universitaet Berlin.
  4. HÄRDLE, Wolfgang, 1992. "Applied nonparametric methods," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 1992003, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  5. HALL, Peter & HÄRDLE, Wolfgang & SIMAR, Léopold, . "On the inconsistency of bootstrap distribution estimators," CORE Discussion Papers RP -1062, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  6. Oliver LINTON, . "Applied nonparametric methods," Statistic und Oekonometrie 9312, Humboldt Universitaet Berlin.
  7. Haerdle,W. Hildenbrand,W. Jerison,M., 1988. "Empirical evidence on the law of demand," Discussion Paper Serie A 193, University of Bonn, Germany.
  8. repec:cup:etheor:v:8:y:1992:i:2:p:276-90 is not listed on IDEAS
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