Indexed on: 01 Jul '09Published on: 01 Jul '09Published in: Mathematical Methods of Statistics
In the common nonparametric regression model the problem of testing for a specific parametric form of the variance function is considered. Recently Dette and Hetzler  proposed a test statistic which is based on an empirical process of pseudo residuals. The process converges weakly to a Gaussian process with a complicated covariance kernel depending on the data generating process. In the present paper we consider a standardized version of this process and propose an application of the Khmaladze transformation to obtain asymptotically distribution-free tests for the corresponding Kolmogorov-Smirnov and Cramér-von Mises functionals. The finite-sample properties of the proposed tests are investigated by means of a simulation study.