Název: Various Approaches to Szroeter’s Test for Regression Quantiles
Autoři: Kalina, Jan ; Peštová, Barbora
Typ dokumentu: Příspěvky z konference
Konference/Akce: INPROFORUM 2017. The International Scientific Conference. Innovations, Enterprises, Regions and Management /11./, České Budějovice (CZ), 20171109
Rok: 2017
Jazyk: eng
Abstrakt: Regression quantiles represent an important tool for regression analysis popular in econometric applications, for example for the task of detecting heteroscedasticity in the data. Nevertheless, they need to be accompanied by diagnostic tools for verifying their assumptions. The paper is devoted to heteroscedasticity testing for regression quantiles, while their most important special case is commonly denoted as the regression median. Szroeter’s test, which is one of available heteroscedasticity tests for the least squares, is modified here for the regression median in three different ways: (1) asymptotic test based on the asymptotic representation for regression quantiles, (2) permutation test based on residuals, and (3) exact approximate test, which has a permutation character and represents an approximation to an exact test. All three approaches can be computed in a straightforward way and their principles can be extended also to other heteroscedasticity tests. The theoretical results are expected to be extended to other regression quantiles and mainly to multivariate quantiles.
Klíčová slova: Asymptotics; Diagnostic tools; Heteroscedasticity; Regression median
Zdrojový dokument: Proceedings of the 11th International Scientific Conference INPROFORUM: Innovations, Enterprises, Regions and Management, ISBN 978-80-7394-667-8
Poznámka: Související webová stránka: http://ocs.ef.jcu.cz/index.php/inproforum/INP2017/paper/view/916

Instituce: Ústav informatiky AV ČR (web)
Informace o dostupnosti dokumentu: Dokument je dostupný na vyžádání prostřednictvím repozitáře Akademie věd.
Původní záznam: http://hdl.handle.net/11104/0283572

Trvalý odkaz NUŠL: http://www.nusl.cz/ntk/nusl-374555


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