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Testing increasing dispersion

  • Wolfgang HÄRDLE
  • Byeong PARK

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 Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes in its series SFB 373 Discussion Papers with number 1994,2.

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Date of creation: 1994
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Handle: RePEc:zbw:sfb373:19942
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  1. Hardle, Wolfgang & Hildenbrand, Werner & Jerison, Michael, 1991. "Empirical Evidence on the Law of Demand," Econometrica, Econometric Society, vol. 59(6), pages 1525-49, November.
  2. Hardle, W., 1992. "Applied Nonparametric Methods," Papers 9206, Tilburg - Center for Economic Research.
  3. Hardle, W. & Marron, A., 1991. "Fast and simple scatterplot smoothing," CORE Discussion Papers 1991043, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  4. Haerdle,W. & Hart,J.D., 1989. "A bootstrap test forpositive definiteness of income effect matrices," Discussion Paper Serie A 199, University of Bonn, Germany.
  5. 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.
  6. repec:cup:etheor:v:8:y:1992:i:2:p:276-90 is not listed on IDEAS
  7. 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.
  8. Oliver LINTON, . "Applied nonparametric methods," Statistic und Oekonometrie 9312, Humboldt Universitaet Berlin.
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