Original title: Various Approaches to Szroeter’s Test for Regression Quantiles
Authors: Kalina, Jan ; Peštová, B.
Document type: Papers
Conference/Event: INPROFORUM 2017. The International Scientific Conference. Innovations, Enterprises, Regions and Management /11./, České Budějovice (CZ), 20171109
Year: 2017
Language: eng
Abstract: 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.
Keywords: Asymptotics; Diagnostic tools; Heteroscedasticity; Regression median
Project no.: GA17-07384S (CEP)
Funding provider: GA ČR
Host item entry: Proceedings of the 11th International Scientific Conference INPROFORUM: Innovations, Enterprises, Regions and Management, ISBN 978-80-7394-667-8

Institution: Institute of Information Theory and Automation AS ČR (web)
Document availability information: Fulltext is available at external website.
External URL: http://library.utia.cas.cz/separaty/2018/SI/kalina-0489955.pdf
Original record: http://hdl.handle.net/11104/0284249

Permalink: http://www.nusl.cz/ntk/nusl-375649


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Research > Institutes ASCR > Institute of Information Theory and Automation
Conference materials > Papers
 Record created 2018-06-19, last modified 2019-10-20


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