Heteroscedasticity checks for regression models
β Scribed by Lixing Zhu; Yasunori Fujikoshi; Kanta Naito
- Publisher
- SP Science China Press
- Year
- 2001
- Tongue
- English
- Weight
- 905 KB
- Volume
- 44
- Category
- Article
- ISSN
- 1674-7283
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
The maximum likelihood estimation in a regression model with heteroscedastic errors is considered. When the design matrices in the model are inappropriately specified, the maximum likelihood estimates of the variances of certain observations are found to be zero irrespective of the observed values,
This paper is devoted to goodness-of-ΓΏt tests for parametric possibly nonlinear heteroscedastic regression models. The test statistic is constructed using a marked empirical process based on residuals. We investigate the consistency of this test statistic and of the estimators needed to compute it.