Testing heteroscedasticity in partially linear models with missing covariates

Xiaohui Liu, Zhizhong Wang and Xuemei Hu

Journal of Nonparametric Statistics, 2011, vol. 23, issue 2, 321-337

Abstract: The purpose of this paper is to investigate the underlying heteroscedasticity in a partially linear model with missing covariates by using the empirical likelihood method. Two new test statistics are proposed based on the inverse probability-weighted idea. Under the null hypothesis, the resulting test statistics are shown to have standard chi-squared distributions asymptotically. Simulation studies show that the proposed statistics behave well. An example of an AIDS clinical trial data set is also used for illustrating our methods.

Date: 2011
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DOI: 10.1080/10485252.2010.515306

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