Goodness-of-fit tests based on residual sum of squares are a standard procedure in fitiing regression models. Often we have a smooth alternative in mind, a qualitative feature that the X2-test does not take into account. We show that the power of detecting a smooth alternative increases when we smooth the current model as well. The proposed test is shown to be able to detect any continuous local alternative tending to zero slower than n-1/2. Theoretical results also address minimax nonparametric hypothesis testing in Sobolev spaces.
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Paper provided by Catholique de Louvain - Institut de statistique in its series Papers with number
9808.
Length: 21 pages Date of creation: 1998 Date of revision: Handle: RePEc:fth:louvis:9808
Contact details of provider: Postal: Universite Catholique de Louvain, Institut de Statistique, Voie du Roman Pays, 34 B-1348 Louvain- La-Neuve, Belgique.
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Find related papers by JEL classification: C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing