IDEAS home Printed from https://ideas.repec.org/p/wop/humbse/9314.html
   My bibliography  Save this paper

Testing increasing dispersion

Author

Listed:
  • B.U.PARK
  • Wolfgang HAERDLE

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.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • B.U.PARK & Wolfgang HAERDLE, "undated". "Testing increasing dispersion," Statistic und Oekonometrie 9314, Humboldt Universitaet Berlin.
  • Handle: RePEc:wop:humbse:9314
    as

    Download full text from publisher

    File URL: ftp://amadeus.wiwi.hu-berlin.de/pub/papers/ise/dp9314.ps.Z
    Download Restriction: no

    Other versions of this item:

    References listed on IDEAS

    as
    1. 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.
    2. 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.
    3. 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.
    4. Hardle, W. & Marron, J. S., 1995. "Fast and simple scatterplot smoothing," Computational Statistics & Data Analysis, Elsevier, vol. 20(1), pages 1-17, July.
    5. 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.
    6. Hardle, Wolfgang & Hildenbrand, Werner & Jerison, Michael, 1991. "Empirical Evidence on the Law of Demand," Econometrica, Econometric Society, vol. 59(6), pages 1525-1549, November.
    7. Härdle, Wolfgang & Hart, Jeffrey D., 1992. "A Bootstrap Test for Positive Definiteness of Income Effect Matrices," Econometric Theory, Cambridge University Press, vol. 8(02), pages 276-292, June.
    8. repec:cup:etheor:v:8:y:1992:i:2:p:276-90 is not listed on IDEAS
    Full references (including those not matched with items on IDEAS)

    More about this item

    JEL classification:

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

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wop:humbse:9314. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Thomas Krichel). General contact details of provider: http://edirc.repec.org/data/ishubde.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.