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Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, Technische Universität Dortmund >
Technical Reports, SFB 475, TU Dortmund >
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| Title: | | Testing for symmetric error distribution in nonparametric regression models  |
| 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, TU Dortmund
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