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Testing variances in wavelet regression models

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  • Oyet, Alwell J.
  • Sutradhar, Brajendra

Abstract

In this paper we develop an asymptotically locally optimal partial score test for testing the suitability of a homoscedastic wavelet model against a general heteroscedastic wavelet model. As the construction of the partial score test requires a consistent estimate for the nuisance parameter, namely the constant variance estimate under the null hypothesis, we conduct a comprehensive investigation in order to choose its best possible estimate among some competitors. The size and power performances of the partial score test are reported for testing for heteroscedasticity in a time series of finite length.

Suggested Citation

  • Oyet, Alwell J. & Sutradhar, Brajendra, 2003. "Testing variances in wavelet regression models," Statistics & Probability Letters, Elsevier, vol. 61(1), pages 97-109, January.
    • Handle: RePEc:eee:stapro:v:61:y:2003:i:1:p:97-109
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    References listed on IDEAS

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    1. Breusch, T S & Pagan, A R, 1979. "A Simple Test for Heteroscedasticity and Random Coefficient Variation," Econometrica, Econometric Society, vol. 47(5), pages 1287-1294, September.
    2. Koenker, Roger, 1981. "A note on studentizing a test for heteroscedasticity," Journal of Econometrics, Elsevier, vol. 17(1), pages 107-112, September.
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    Cited by:

    1. Zhu, Zhongyi & Fung, Wing K., 2004. "Variance component testing in semiparametric mixed models," Journal of Multivariate Analysis, Elsevier, vol. 91(1), pages 107-118, October.
    2. Natalie Neumeyer & Ingrid Van Keilegom, 2009. "Change‐Point Tests for the Error Distribution in Non‐parametric Regression," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 36(3), pages 518-541, September.

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