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Publication Details
AFRICAN RESEARCH NEXUS
SHINING A SPOTLIGHT ON AFRICAN RESEARCH
Tests for independence in non-parametric heteroscedastic regression models
Journal of Multivariate Analysis, Volume 102, No. 4, Year 2011
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Description
Consistent procedures are constructed for testing independence between the regressor and the error in non-parametric regression models. The tests are based on the Fourier formulation of independence, and utilize the joint and the marginal empirical characteristic functions of the regressor and of estimated residuals. The asymptotic null distribution as well as the behavior of the test statistic under alternatives is investigated. A simulation study compares bootstrap versions of the proposed tests to corresponding procedures utilizing the empirical distribution function. © 2011.
Authors & Co-Authors
Hlávka, Zdeněk
Czech Republic, Prague
Charles University
Hušková, Marie
Czech Republic, Prague
Charles University
Meintanis, Simos George
Greece, Athens
National and Kapodistrian University of Athens
Statistics
Citations: 22
Authors: 3
Affiliations: 2
Identifiers
Doi:
10.1016/j.jmva.2011.01.002
ISSN:
10957243