Testing heteroscedasticity in nonparametric regression models based on residual analysis

The importance of detecting heteroscedasticity in regression analysis is widely recognized because efficient inference for the regression function requires that heteroscedasticity should be taken into account. In this paper, a simple test for heteroscedasticity is proposed in nonparametric regression based on residual analysis. Furthermore, some simulations with a comparison with Dette and Munk's method are conducted to evaluate the performance of the proposed test. The results demonstrate that the method in this paper performs quite satisfactorily and is much more powerful than Dette and Munk's method in some cases.