Aligned rank tests for the linear model with heteroscedastic errors

Willem Albers; Michael G. Akritas

Aligned rank tests for the linear model with heteroscedastic errors

Willem Albers, Michael G. Akritas

Research output: Book/Report › Report › Professional

Abstract

We consider the problem of testing subhypotheses in a heteroscedastic linear regression model. The proposed test statistics are based on the ranks of scaled residuals obtained under the null hypothesis. Any estimator that is n -consistent under the null hypothesis can be used to form the residuals. The error variances are estimated through a parametric model. This extends the theory of aligned rank tests to the heteroscedastic linear model. A real data set is used to illustrate the procedure.

Original language	English
Place of Publication	Enschede
Publisher	University of Twente, Faculty of Applied Mathematics
Number of pages	26
Publication status	Published - 1990

Publication series

Name	Memorandum
Publisher	University of Twente, Faculty of Applied Mathematics
No.	890

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abstract = "We consider the problem of testing subhypotheses in a heteroscedastic linear regression model. The proposed test statistics are based on the ranks of scaled residuals obtained under the null hypothesis. Any estimator that is n -consistent under the null hypothesis can be used to form the residuals. The error variances are estimated through a parametric model. This extends the theory of aligned rank tests to the heteroscedastic linear model. A real data set is used to illustrate the procedure.",

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AB - We consider the problem of testing subhypotheses in a heteroscedastic linear regression model. The proposed test statistics are based on the ranks of scaled residuals obtained under the null hypothesis. Any estimator that is n -consistent under the null hypothesis can be used to form the residuals. The error variances are estimated through a parametric model. This extends the theory of aligned rank tests to the heteroscedastic linear model. A real data set is used to illustrate the procedure.

M3 - Report

T3 - Memorandum

BT - Aligned rank tests for the linear model with heteroscedastic errors

PB - University of Twente, Faculty of Applied Mathematics

CY - Enschede

ER -