Various Approaches to Szroeter’s Test for Regression Quantiles

0489088 - ÚI 2019 RIV CZ eng C - Konferenční příspěvek (zahraniční konf.)
Kalina, Jan - Peštová, Barbora
Various Approaches to Szroeter’s Test for Regression Quantiles.
Proceedings of the 11th International Scientific Conference INPROFORUM: Innovations, Enterprises, Regions and Management. České Budějovice: University of South Bohemia in České Budějovice, 2017 - (Pech, M.), s. 361-365. ISBN 978-80-7394-667-8. E-ISSN 2336-6788.
[INPROFORUM 2017. The International Scientific Conference. Innovations, Enterprises, Regions and Management /11./. České Budějovice (CZ), 09.11.2017-10.11.2017]
Institucionální podpora: RVO:67985807
Klíčová slova: Heteroscedasticity * Regression median * Diagnostic tools * Asymptotics
Obor OECD: Computer sciences, information science, bioinformathics (hardware development to be 2.2, social aspect to be 5.8)
http://ocs.ef.jcu.cz/index.php/inproforum/INP2017/paper/view/916

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.
Trvalý link: http://hdl.handle.net/11104/0283572