Specification Tests for the Distribution of Errors in Nonoarametric Regression: A Martingale Approach
AbstractWe discuss how to test whether the distribution of regression errors belongs to a parametric family of continuous distribution functions, making no parametric assumption about the conditional mean or the conditional variance in the regression model. We propose using test statistics that are based on a martingale transform of the estimated empirical process. We prove that these statistics are asymptotically distribution-free, and two Monte Carlo experiments show that they work reasonably well in practice.
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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 2008-11.
Length: 36 pages
Date of creation: Jun 2008
Date of revision:
Publication status: Published by Ivie
Specification Tests; Nonparametric Regression; Empirical Processes.;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-07-20 (All new papers)
- NEP-ECM-2008-07-20 (Econometrics)
- NEP-ORE-2008-07-20 (Operations Research)
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