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Rank tests in heteroscedastic linear model with nuisance parameters

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  • Jana Jurečková

  • Radim Navrátil

Abstract

In the linear regression model with heteroscedastic errors, we propose nonparametric tests for regression under nuisance heteroscedasticity, and tests for heteroscedasticity under nuisance regression. Both types of tests are based on suitable ancillary statistics for the nuisance parameters; hence they avoid their estimation, in contradistinction to tests proposed in the literature. A simulation study, as well as an application of tests to real data, illustrate their good performance. Copyright Springer-Verlag Berlin Heidelberg 2014

Suggested Citation

  • Jana Jurečková & Radim Navrátil, 2014. "Rank tests in heteroscedastic linear model with nuisance parameters," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 77(3), pages 433-450, April.
    • Handle: RePEc:spr:metrik:v:77:y:2014:i:3:p:433-450
    DOI: 10.1007/s00184-013-0447-7
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    References listed on IDEAS

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