Testing for symmetric error distribution in nonparametric regression models
AbstractFor the problem of testing symmetry of the error distribution in a nonparametric regression model we propose as a test statistic the difference between the two empirical distribution functions of estimated residuals and their counterparts with opposite signs. The weak convergence of the difference process to a Gaussian process is shown. The covariance structure of this process depends heavily on the density of the error distribution, and for this reason the performance of a symmetric wild bootstrap procedure is discussed in asymptotic theory and by means of a simulation study. In contrast to the available procedures the new test is also applicable under heteroscedasticity. --
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Bibliographic InfoPaper provided by Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen in its series Technical Reports with number 2003,11.
Date of creation: 2003
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empirical process of residuals; testing for symmetry; nonparametric regression;
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Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
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- repec:cup:cbooks:9780521496032 is not listed on IDEAS
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