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Testing increasing dispersion

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  • HÄRDLE, Wolfgang

    (CORE, Université catholique de Louvain, B-1348 Louvain-la-Neuve, Belgium)

  • PARK, Byeong

    (CORE, Université catholique de Louvain, B-1348 Louvain-la-Neuve, Belgium)

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.

Suggested Citation

  • HÄRDLE, Wolfgang & PARK, Byeong, 1992. "Testing increasing dispersion," CORE Discussion Papers 1992024, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  • Handle: RePEc:cor:louvco:1992024
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    File URL: https://uclouvain.be/en/research-institutes/immaq/core/dp-1992.html
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    References listed on IDEAS

    as
    1. Hardle, Wolfgang & Linton, Oliver, 1986. "Applied nonparametric methods," Handbook of Econometrics,in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 38, pages 2295-2339 Elsevier.
    2. Härdle, Wolfgang & Hart, Jeffrey D., 1992. "A Bootstrap Test for Positive Definiteness of Income Effect Matrices," Econometric Theory, Cambridge University Press, pages 276-292.
    3. Robinson, P M, 1987. "Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form," Econometrica, Econometric Society, vol. 55(4), pages 875-891, July.
    4. Hall, Peter & Hardle, Wolfgang & Simar, Leopold, 1993. "On the inconsistency of bootstrap distribution estimators," Computational Statistics & Data Analysis, Elsevier, vol. 16(1), pages 11-18, June.
    5. Hardle, Wolfgang & Hildenbrand, Werner & Jerison, Michael, 1991. "Empirical Evidence on the Law of Demand," Econometrica, Econometric Society, pages 1525-1549.
    6. repec:cup:etheor:v:8:y:1992:i:2:p:276-90 is not listed on IDEAS
    7. Hardle, W. & Marron, J. S., 1995. "Fast and simple scatterplot smoothing," Computational Statistics & Data Analysis, Elsevier, vol. 20(1), pages 1-17, July.
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    More about this item

    JEL classification:

    • G35 - Financial Economics - - Corporate Finance and Governance - - - Payout Policy
    • G20 - Financial Economics - - Financial Institutions and Services - - - General

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