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Title:Testing for symmetric error distribution in nonparametric regression models PDF Logo
Authors:Neumeyer, Natalie
Dette, Holger
Issue Date:2003
Series/Report no.:Technical Report // Universität Dortmund, SFB 475 Komplexitätsreduktion in Multivariaten Datenstrukturen 2003,11
Abstract:For the problem of testing symmetry of the error distribution in a nonparametric regression model we propose as a test statistic the difference between the two empirical distribution functions of estimated residuals and their counterparts with opposite signs. The weak convergence of the difference process to a Gaussian process is shown. The covariance structure of this process depends heavily on the density of the error distribution, and for this reason the performance of a symmetric wild bootstrap procedure is discussed in asymptotic theory and by means of a simulation study. In contrast to the available procedures the new test is also applicable under heteroscedasticity.
Subjects:empirical process of residuals
testing for symmetry
nonparametric regression
Document Type:Working Paper
Appears in Collections:Technical Reports, SFB 475: Komplexitätsreduktion in multivariaten Datenstrukturen, TU Dortmund

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