A fully nonparametric diagnostic test for homogeneity of variances

Lan Wang, Xiao Hua Zhou

Research output: Contribution to journalArticle

8 Scopus citations

Abstract

The authors propose a new nonparametric diagnostic test for checking the constancy of the conditional variance function σ2(x) in the regression model Yi = m(xi) + σ(x ii, i = 1,..., m. Their test, which does not assume a known parametric form for the conditional mean function m(x), is inspired by a recent asymptotic theory in the analysis of variance when the number of factor levels is large. The authors demonstrate through simulations the good finite-sample properties of the test and illustrate its use in a study on the effect of drug utilization on health care costs.

Original languageEnglish (US)
Pages (from-to)545-558
Number of pages14
JournalCanadian Journal of Statistics
Volume33
Issue number4
DOIs
StatePublished - Dec 1 2005

Keywords

  • Analysis of variance
  • Constant variance
  • Health care costs
  • Heteroscedastic errors
  • Nearest-neighbour windows
  • Nonparametric regression
  • Residual

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