The Two-Sample Problem With Regression Errors: An Empirical Process Approach
AbstractWe describe how to test the null hypothesis that errors from two parametrically specified regression models have the same distribution versus a general alternative. First we obtain the asymptotic properties of test-statistics derived from the difference between the two residual-based empirical distribution functions. Under the null distribution they are not asymptotically distribution free and, hence, a consistent bootstrap procedure is proposed to compute critical values. As an alternative, we describe how to perform the test with statistics based on martingale-transformed empirical processes, which are asymptotically distribution free. Some Monte Carlo experiments are performed to compare the behaviour of all statistics with moderate sample sizes.
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Bibliographic InfoPaper provided by Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) in its series Working Papers. Serie AD with number 2005-18.
Length: 52 pages
Date of creation: May 2005
Date of revision:
Publication status: Published by Ivie
Two-Sample Problem; Residual-Based Empirical Process; Smooth Bootstrap; Martingale Transform;
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