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Testing increasing dispersion

Author

Listed:
  • 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," LIDAM Discussion Papers CORE 1992024, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    • Handle: RePEc:cor:louvco:1992024
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    Cited by:

    1. Rodríguez-Poo, Juan M. & Linton, Oliver Bruce, 1998. "Nonparametric factor analysis of time series," SFB 373 Discussion Papers 1998,70, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.

    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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