Testing for symmetric error distribution in nonparametric regression models
For the problem of testing symmetry of the error distribution in a nonparametric regression model we propose as a test statistic the difference between the two empirical distribution functions of estimated residuals and their counterparts with opposite signs. The weak convergence of the difference process to a Gaussian process is shown. The covariance structure of this process depends heavily on the density of the error distribution, and for this reason the performance of a symmetric wild bootstrap procedure is discussed in asymptotic theory and by means of a simulation study. In contrast to the available procedures the new test is also applicable under heteroscedasticity.
|Date of creation:||2003|
|Contact details of provider:|| Postal: Vogelpothsweg 78, D-44221 Dortmund|
Phone: (0231) 755-3125
Fax: (0231) 755-5284
Web page: http://www.statistik.tu-dortmund.de/sfb475.html
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Hyndman, R.J. & Yao, Q., 1998.
"Nonparametric Estimation and Symmetry Tests for Conditional Density Functions,"
Monash Econometrics and Business Statistics Working Papers
17/98, Monash University, Department of Econometrics and Business Statistics.
- Yao, Qiwei & Hyndman, Rob J., 2002. "Nonparametric estimation and symmetry tests for conditional density functions," LSE Research Online Documents on Economics 6092, London School of Economics and Political Science, LSE Library.
- Koziol, James A., 1985. "A note on testing symmetry with estimated parameters," Statistics & Probability Letters, Elsevier, vol. 3(4), pages 227-230, July. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:zbw:sfb475:200311. 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: (ZBW - German National Library of Economics)
If references are entirely missing, you can add them using this form.