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Heteroscedasticity testing for regression models: A dimension reduction-based model adaptive approach

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  • Zhu, Xuehu
  • Chen, Fei
  • Guo, Xu
  • Zhu, Lixing

Abstract

Heteroscedasticity testing is of importance in regression analysis. Existing local smoothing tests suffer severely from curse of dimensionality even when the number of covariates is moderate because of use of nonparametric estimation. A dimension reduction-based model adaptive test is proposed which behaves like a local smoothing test as if the number of covariates was equal to the number of their linear combinations in the mean regression function, in particular, equal to 1 when the mean function contains a single index. The test statistic is asymptotically normal under the null hypothesis such that critical values are easily determined. The finite sample performances of the test are examined by simulations and a real data analysis.

Suggested Citation

  • Zhu, Xuehu & Chen, Fei & Guo, Xu & Zhu, Lixing, 2016. "Heteroscedasticity testing for regression models: A dimension reduction-based model adaptive approach," Computational Statistics & Data Analysis, Elsevier, vol. 103(C), pages 263-283.
    • Handle: RePEc:eee:csdana:v:103:y:2016:i:c:p:263-283
    DOI: 10.1016/j.csda.2016.04.009
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    Cited by:

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    2. Chen, Feifei & Jiang, Qing & Feng, Zhenghui & Zhu, Lixing, 2020. "Model checks for functional linear regression models based on projected empirical processes," Computational Statistics & Data Analysis, Elsevier, vol. 144(C).
    3. Zhu, Xuehu & Guo, Xu & Wang, Tao & Zhu, Lixing, 2020. "Dimensionality determination: A thresholding double ridge ratio approach," Computational Statistics & Data Analysis, Elsevier, vol. 146(C).
    4. Zhu, Xuehu & Wang, Tao & Zhao, Junlong & Zhu, Lixing, 2017. "Inference for biased transformation models," Computational Statistics & Data Analysis, Elsevier, vol. 109(C), pages 105-120.
    5. Xuehu Zhu & Jun Lu & Jun Zhang & Lixing Zhu, 2021. "Testing for conditional independence: A groupwise dimension reduction‐based adaptive‐to‐model approach," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 48(2), pages 549-576, June.
    6. Zhang, Jun & Zhou, Yan & Lin, Bingqing & Yu, Yao, 2017. "Estimation and hypothesis test on partial linear models with additive distortion measurement errors," Computational Statistics & Data Analysis, Elsevier, vol. 112(C), pages 114-128.

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