A new nonparametric estimation method of the variance in a heteroscedastic model

Year 2015, Volume: 44 Issue: 1, 239 - 245, 01.02.2015

Xiaoqin Zhang Hongxia Hao Jiye Liang

Abstract

In most economic phenomena, the assumption of homoscedasticity in
the classic linear regression model is not necessarily true, which leads to
heteroscedasticity. The heteroscedastic estimate is an important aspect
for the problem of heteroscedasticity. For this hot issue, this paper proposes a nonparametric estimation method with simple calculation for
the estimation of heteroscedasticity through orthogonal arrays, which
does not rely on the distribution of data. The performance of the proposed method is investigated by prediction error in real data sets and
simulations. The results suggest that this method offers substantial
improvements over the existing tests.

Keywords

Orthogonal array, heteroscedasticity, non-parametric estimation

References

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