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Testing increasing dispersion

  • 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)

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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Paper provided by Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) in its series CORE Discussion Papers with number 1992024.

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Date of creation: 01 Apr 1992
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Handle: RePEc:cor:louvco:1992024
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  1. Oliver LINTON, . "Applied nonparametric methods," Statistic und Oekonometrie 9312, Humboldt Universitaet Berlin.
  2. Wolfgang HÄRDLE & James S. MARRON, 1994. "Fast and Simple Scatterplot Smoothing," SFB 373 Discussion Papers 1994,8, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  3. HÄRDLE, Wolfgang & HART, Jeffrey D., . "A bootstrap test for positive definiteness of income effect matrices," CORE Discussion Papers RP -999, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  4. HARDLE, Wolfgang & HILDENBRAND, Werner & JERISON, Michael, . "Empirical evidence on the law of demand," CORE Discussion Papers RP -968, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  5. HÄRDLE, Wolfgang, 1992. "Applied nonparametric methods," CORE Discussion Papers 1992003, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  6. Hall, P. & Hardle, W. & Simar, L., 1991. "On teh inconsistency of bootstrap distribution estimators," CORE Discussion Papers 1991020, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  7. repec:cup:etheor:v:8:y:1992:i:2:p:276-90 is not listed on IDEAS
  8. Robinson, P M, 1987. "Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form," Econometrica, Econometric Society, vol. 55(4), pages 875-91, July.
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