Detecting heteroskedasticity in nonparametric regression using weighted empirical processes

Abstract

Heteroskedastic errors can lead to inaccurate statistical conclusions if they are not properly handled. We introduce a test for heteroskedasticity for the nonparametric regression model with multiple covariates. It is based on a suitable residual-based empirical distribution function. The residuals are constructed using local polynomial smoothing. Our test statistic involves a detection function that can verify heteroskedasticity by exploiting just the independence-dependence structure between the detection function and model errors, i.e. we do not require a specific model of the variance function. The procedure is asymptotically distribution free: inferences made from it do not depend on unknown parameters. It is consistent at the parametric (root-n) rate of convergence. Our results are extended to the case of missing responses and illustrated with simulations.

Preprint is 28 pages in length. This manuscript is currently under review