We extend Bickel's tests for heteroscedasticity to include wider classes of test statistics and fitting methods. The test statistics include those based on Huber's function, while the fitting techniques include Huber's Proposal 2 for robust regression.
Publié le : 1981-01-14
Classification:
Heteroscedasticity,
robustness,
linear model,
$M$-estimates,
regression,
asymptotic tests,
62G35,
62J05,
62J10
@article{1176345349,
author = {Carroll, Raymond J. and Ruppert, David},
title = {On Robust Tests for Heteroscedasticity},
journal = {Ann. Statist.},
volume = {9},
number = {1},
year = {1981},
pages = { 206-210},
language = {en},
url = {http://dml.mathdoc.fr/item/1176345349}
}
Carroll, Raymond J.; Ruppert, David. On Robust Tests for Heteroscedasticity. Ann. Statist., Tome 9 (1981) no. 1, pp. 206-210. http://gdmltest.u-ga.fr/item/1176345349/