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Rank tests in heteroscedastic linear model with nuisance parameters

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Abstract

In the linear regression model with heteroscedastic errors, we propose nonparametric tests for regression under nuisance heteroscedasticity, and tests for heteroscedasticity under nuisance regression. Both types of tests are based on suitable ancillary statistics for the nuisance parameters; hence they avoid their estimation, in contradistinction to tests proposed in the literature. A simulation study, as well as an application of tests to real data, illustrate their good performance.

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Acknowledgments

The authors thank Editor and three Referees for their valuable comments and suggestions, which helped for better readability of the text.

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Authors and Affiliations

  1. Department of Probability and Statistics, Charles University in Prague, MFF UK, Sokolovská 83, 196 75 , Prague 8, Czech Republic

    Jana Jurečková & Radim Navrátil

Authors
  1. Jana Jurečková
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  2. Radim Navrátil
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Corresponding author

Correspondence to Jana Jurečková.

Additional information

Research of the first author was supported by the Grant GAČR 201/12/0083. Research of the second author was supported by Charles University Grant 105610 and by the Grant SVV-2013-267 315.

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Jurečková, J., Navrátil, R. Rank tests in heteroscedastic linear model with nuisance parameters. Metrika 77, 433–450 (2014). https://doi.org/10.1007/s00184-013-0447-7

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  • DOI: https://doi.org/10.1007/s00184-013-0447-7

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