A diagnostic for heteroscedasticity based on the spearman rank correlation Academic Article

abstract

• Consider a regression situation in which one wants to understand whether variability of the response is related to a scalar predictor z; the latter could be the predicted value. A diagnostic for heteroscedasticity is the score test (Cook and Weisberg, 1983), which is equivalent to computing the Pearson correlation between the squared residuals from a preliminary fit to the data and the predictor z. As such, the score test is highly nonrobust, both to outlying residuals, which are squared, and leverage points in z. Carroll and Ruppert (1988, pp. 98-99) propose that instead of using the Pearson correlation, one could use the Spearman correlation because it is no more difficult to compute in practice and is intuitively robust. We study this test theoretically, obtaining its limit distribution and influence function. 1990.

authors

• Carroll, Raymond

published proceedings

• Statistics & Probability Letters

author list (cited authors)

• Yin, Y., & Carroll, R. J.

citation count

• 8

complete list of authors

• Yin, Y||Carroll, RJ

publication date

• June 1990

publisher

• Elsevier  Publisher

published in

• Statistics and Probability Letters  Journal

Digital Object Identifier (DOI)

• 10.1016/0167-7152(90)90114-m

start page

• 69

end page

• 76

volume

• 10

issue

• 1

URL

• http%3A%2F%2Fdx.doi.org%2F10.1016%2F0167-7152%2890%2990114-m