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Two tests for heteroscedasticity in nonparametric regression

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Abstract

In this paper, two new tests for heteroscedasticity in nonparametric regression are presented and compared. The first of these tests consists in first estimating nonparametrically the unknown conditional variance function and then using a classical least-squares test for a general linear model to test whether this function is a constant. The second test is based on using an overall distance between a nonparametric estimator of the conditional variance function and a parametric estimator of the variance of the model under the assumption of homoscedasticity. A bootstrap algorithm is used to approximate the distribution of this test statistic. Extended versions of both procedures in two directions, first, in the context of dependent data, and second, in the case of testing if the variance function is a polynomial of a certain degree, are also described. A broad simulation study is carried out to illustrate the finite sample performance of both tests when the observations are independent and when they are dependent.

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Authors and Affiliations

  1. Facultad de Informática, Universidad de A Coruña, Campus de Elviña s/n, 15071, Corunna, Spain

    Mario Francisco-Fernández & Juan M. Vilar-Fernández

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  1. Mario Francisco-Fernández
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  2. Juan M. Vilar-Fernández
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Correspondence to Mario Francisco-Fernández.

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Francisco-Fernández, M., Vilar-Fernández, J.M. Two tests for heteroscedasticity in nonparametric regression. Comput Stat 24, 145–163 (2009). https://doi.org/10.1007/s00180-008-0110-3

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  • DOI: https://doi.org/10.1007/s00180-008-0110-3

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