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Checking nonparametric component for partially nonlinear model with missing response

Author

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  • Wang, Zhaoliang
  • Xue, Liugen
  • Liu, Juanfang

Abstract

This paper is concerned with the specification test of the nonparametric component in partially nonlinear models with response missing at random. Two quadratic conditional moment test statistics with their asymptotic properties are developed. Our test methods possess the virtue that p-values can be easily determined and Type I error can be asymptotically exact controlled. Further, the tests can also detect the alternatives distinct from the null hypothesis at the optimal nonparametric rate for local smoothing-based methods. Thorough Monte Carlo simulations and an application to one real data set are provided to demonstrate excellent finite-sample performance of the proposed methods.

Suggested Citation

  • Wang, Zhaoliang & Xue, Liugen & Liu, Juanfang, 2019. "Checking nonparametric component for partially nonlinear model with missing response," Statistics & Probability Letters, Elsevier, vol. 149(C), pages 1-8.
    • Handle: RePEc:eee:stapro:v:149:y:2019:i:c:p:1-8
    DOI: 10.1016/j.spl.2019.01.020
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    References listed on IDEAS

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    8. Wangli Xu & Xu Guo & Lixing Zhu, 2012. "Goodness-of-fitting for partial linear model with missing response at random," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 24(1), pages 103-118.
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    Cited by:

    1. Rui Li & Yuanyuan Zhang, 2021. "Two-stage estimation and simultaneous confidence band in partially nonlinear additive model," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 84(8), pages 1109-1140, November.

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