IDEAS home Printed from https://ideas.repec.org/p/cte/wsrepe/4199.html
   My bibliography  Save this paper

Random coefficient regressions: parametric goodness of fit tests

Author

Listed:
  • Delicado, Pedro
  • Romo, Juan

Abstract

Random coefficient regression models have been applied in different fields during recent years and they are a unifying frame for many statistical models. Recently, Beran and Hall (1992) opened the question of the nonparametric study of the distribution of the coefficients. Nonparametric goodness of fit tests were considered in Delicado and Romo (1994.). In this paper we propose statistics for parametric goodness of fit tests and we obtain their asymptotic distributions. Moreover, we construct bootstrap approximations to these distributions, proving their validity. Finally, a simulation study illustrates our results.

Suggested Citation

  • Delicado, Pedro & Romo, Juan, 1995. "Random coefficient regressions: parametric goodness of fit tests," DES - Working Papers. Statistics and Econometrics. WS 4199, Universidad Carlos III de Madrid. Departamento de Estadística.
    • Handle: RePEc:cte:wsrepe:4199
    as

    Download full text from publisher

    File URL: https://e-archivo.uc3m.es/bitstream/handle/10016/4199/ws950101.pdf?sequence=1
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Pedro Delicado & Juan Romo, 1999. "Goodness of Fit Tests in Random Coefficient Regression Models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 51(1), pages 125-148, March.
    2. Beran, R.J. & Le Cam, L. & Millar, P.W., 1987. "Convergence of stochastic empirical measures," Journal of Multivariate Analysis, Elsevier, vol. 23(1), pages 159-168, October.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Pedro Delicado & Juan Romo, 1998. "Constant coefficient tests for random coefficient regression," Economics Working Papers 329, Department of Economics and Business, Universitat Pompeu Fabra.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Pedro Delicado & Juan Romo, 1998. "Constant coefficient tests for random coefficient regression," Economics Working Papers 329, Department of Economics and Business, Universitat Pompeu Fabra.
    2. Axel Bücher & Ivan Kojadinovic, 2019. "A Note on Conditional Versus Joint Unconditional Weak Convergence in Bootstrap Consistency Results," Journal of Theoretical Probability, Springer, vol. 32(3), pages 1145-1165, September.
    3. Zhang, Chun-Xia & Mei, Chang-Lin & Zhang, Jiang-She, 2007. "An empirical study of a test for polynomial relationships in randomly right censored regression models," Computational Statistics & Data Analysis, Elsevier, vol. 51(12), pages 6543-6556, August.
    4. Natalie Neumeyer, 2009. "Smooth Residual Bootstrap for Empirical Processes of Non‐parametric Regression Residuals," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 36(2), pages 204-228, June.
    5. Tianshun Yan & Changlin Mei, 2017. "A test for a parametric form of the volatility in second-order diffusion models," Computational Statistics, Springer, vol. 32(4), pages 1583-1596, December.
    6. Delgado, Miguel A. & Fiteni, Inmaculada, 2002. "External bootstrap tests for parameter stability," Journal of Econometrics, Elsevier, vol. 109(2), pages 275-303, August.
    7. Natalie Neumeyer & Ingrid Van Keilegom, 2009. "Change‐Point Tests for the Error Distribution in Non‐parametric Regression," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 36(3), pages 518-541, September.
    8. Shao, Yongzhao, 2001. "Rate of convergence of bootstrapped empirical measures," Statistics & Probability Letters, Elsevier, vol. 53(3), pages 293-298, June.

    More about this item

    Keywords

    Goodness of fit;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cte:wsrepe:4199. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Ana Poveda (email available below). General contact details of provider: http://portal.uc3m.es/portal/page/portal/dpto_estadistica .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.