Nonparametric Analysis of Covariance : the Case of Inhomogeneous and Heteroscedastic Noise
AbstractThe purpose of this paper is to propose a procedure for testing the equality of several regression curves fi in nonparametric regression models when the noise is inhomogeneous. This extends work of Dette and Neumeyer (2001) and it is shown that the new test is asymptotically uniformly more powerful. The presented approach is very natural because it transfers the maximum likelihood statistic from a heteroscedastic one way ANOVA to the context of nonparametric regression. The maximum likelihood estimators will be replaced by kernel estimators of the regression functions fi. It is shown that the asymptotic distribution of the obtained test statistic is nuisance parameter free. Finally, for practical purposes a bootstrap variant is suggested. In a simulation study, level and power of this test will be briefly investigated. In summary, our theoretical findings are supported by this study. --
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Bibliographic InfoPaper provided by Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen in its series Technical Reports with number 2004,28.
Date of creation: 2004
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nonparametric regression; ANOVA; heteroscedasticity; goodness-of-fit; wild bootstrap; efficacy;
Find related papers by JEL classification:
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
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SFB 373 Discussion Papers
1998,79, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
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