Rank tests under uncertainty: Regression and local heteroscedasticity

Abstract

In the linear regression model with heteroscedastic errors, we propose tests of regression with nuisance heteroscedasticity, and tests of heteroscedasticity with nuisance regression. Both types of tests are based on suitable regression rank scores.

The simulation study illustrates the good performance of tests.

Keywords

• HETEROSCEDASTICITY
• LINEAR REGRESSION
• RANK TEST
• SIGNED RANK TEST