TY - JOUR
T1 - An ANOVA-type nonparametric diagnostic test for heteroscedastic regression models
AU - Wang, Lan
AU - Akritas, Michael G.
AU - Van Keilegom, Ingrid
PY - 2008/7
Y1 - 2008/7
N2 - For the heteroscedastic nonparametric regression model Yni=m (xni)+σ (xni)εni, i=1,...,n, we discuss a novel method for testing some parametric assumptions about the regression function m. The test is motivated by recent developments in the asymptotic theory for analysis of variance when the number of factor levels is large. Asymptotic normality of the test statistic is established under the null hypothesis and suitable local alternatives. The similarity of the form of the test statistic to that of the classical F-statistic in analysis of variance allows easy and fast calculation. Simulation studies demonstrate that the new test possesses satisfactory finite-sample properties.
AB - For the heteroscedastic nonparametric regression model Yni=m (xni)+σ (xni)εni, i=1,...,n, we discuss a novel method for testing some parametric assumptions about the regression function m. The test is motivated by recent developments in the asymptotic theory for analysis of variance when the number of factor levels is large. Asymptotic normality of the test statistic is established under the null hypothesis and suitable local alternatives. The similarity of the form of the test statistic to that of the classical F-statistic in analysis of variance allows easy and fast calculation. Simulation studies demonstrate that the new test possesses satisfactory finite-sample properties.
KW - Heteroscedastic errors
KW - Lack-of-fit tests
KW - Local alternatives
KW - Nearest neighbourhood; nonparametric regression
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U2 - 10.1080/10485250802066112
DO - 10.1080/10485250802066112
M3 - Article
AN - SCOPUS:47549098483
VL - 20
SP - 365
EP - 382
JO - Journal of Nonparametric Statistics
JF - Journal of Nonparametric Statistics
SN - 1048-5252
IS - 5
ER -