Tests for independence in non-parametric heteroscedastic regression models

DOI10.1016/J.JMVA.2011.01.002MaRDI QIDQ632754zbMATH OpenOpenAlexFDO

Authors Zdeňek Hlávka, Marie Hušková, Simos G. Meintanis

Publication date 25 March 2011

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2011.01.002

zbMATH Keywords

bootstrapempirical characteristic functionKernel regression estimatortest of independence

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A consistent modification of a test for independence based on the empirical characteristic function
• A Consistent Test for Bivariate Dependence
• A multivariate empirical characteristic function test of independence with normal marginals
• Asymptotic Statistics
• Bootstrap simultaneous error bars for nonparametric regression
• Fourier methods for testing multivariate independence
• scientific article; zbMATH DE number 5697128 (Why is no real title available?)
• Specification tests in nonparametric regression
• Testing independence in nonparametric regression
• Tests for independence in nonparametric regression
• Tests for the error distribution in nonparametric possibly heteroscedastic regression models

Cited in

(26)

• Testing independence in nonparametric regression
• A distribution free test to detect general dependence between a response variable and a covariate in the presence of heteroscedastic treatment effects
• On the estimation of the characteristic function in finite populations with applications
• Applications of distance correlation to time series
• Distribution theory for some tests of independence of seemingly unrelated regressions
• One-sided tests for independence of seemingly unrelated regression equations
• Maximal type test statistics based on conditional processes
• Fourier-type tests of mutual independence between functional time series
• On some characterizations and multidimensional criteria for testing homogeneity, symmetry and independence
• Tests for validity of the semiparametric heteroskedastic transformation model
• Frontier estimation in nonparametric location-scale models
• Unobserved heterogeneity and endogeneity in nonparametric frontier estimation
• Tests for independence in nonparametric regression
• Rejoinder on: ``An updated review of goodness-of-fit tests for regression models
• Bayesian and Non-Bayesian Tests of Independence in Seemingly Unrelated Regressions
• Specification testing in nonparametric AR‐ARCH models
• Testing independence of covariates and errors in non-parametric regression
• Testing Hypotheses on fouriercoefficients in non parametricregression model
• Computationally efficient approximations for independence tests in non-parametric regression
• A Non-Parametric Test of Exogeneity
• A joint test for parametric specification and independence in nonlinear regression models
• A non-parametric statistic for testing conditional heteroscedasticity for unobserved component models
• Comments on: ``An updated review of goodness-of-fit tests for regression models
• Comments on: ``An updated review of goodness-of-fit tests for regression models
• An Updated Literature Review of Distance Correlation and Its Applications to Time Series
• Estimating the error distribution in semiparametric transformation models

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