Testing for symmetric error distribution in nonparametric regression models

Natalie Neumeyer and Holger Dette

No 2003,11, Technical Reports from Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen

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.

Keywords: empirical process of residuals; testing for symmetry; nonparametric regression (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (1)

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