Testing variances in wavelet regression models

Alwell J. Oyet and Brajendra Sutradhar

Statistics & Probability Letters, 2003, vol. 61, issue 1, 97-109

Abstract: In this paper we develop an asymptotically locally optimal partial score test for testing the suitability of a homoscedastic wavelet model against a general heteroscedastic wavelet model. As the construction of the partial score test requires a consistent estimate for the nuisance parameter, namely the constant variance estimate under the null hypothesis, we conduct a comprehensive investigation in order to choose its best possible estimate among some competitors. The size and power performances of the partial score test are reported for testing for heteroscedasticity in a time series of finite length.

Keywords: Daubechies; wavelet; Gasser-Muller; estimator; Haar; wavelet; Partial; score; test; Weighted; least; squares (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (2)

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