Consider the nonparametric regression model Y = m(X) + τ(X)ε , where X and ε are independent random variables, ε has a mean of zero and variance σ2, τ is some unknown function used to model heteroscedasticity, and m(X) is an unknown function reflecting some conditional measure of location associated with Y, given X. Detecting dependence, by testing the hypothesis that m(X) does not vary with X, has the potential of being more sensitive to a wider range of associations compared to using Pearson's correlation. This note has two goals. The first is to point out situations where a certain variation of an extant test of this hypothesis fails to control the probability of a Type I error, but another variation avoids this problem. The successful variation provides a new test of H0:τ(X) ≡ 1, the hypothesis that the error term is homoscedastic, which has the potential of higher power versus a method recently studied by Wilcox (2006). The second goal is to report some simulation results on how this method performs.
Wilcox, Rand R.
"On Flexible Tests of Independence and homoscedasticity,"
Journal of Modern Applied Statistical Methods:
1, Article 5.
Available at: http://digitalcommons.wayne.edu/jmasm/vol6/iss1/5