Testing a Regression Model When We Have Smooth Alternatives in Mind
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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Volume (Year): 26 (1999)
Issue (Month): 2 ()
Pages: 221-238
| Handle: | RePEc:bla:scjsta:v:26:y:1999:i:2:p:221-238 |
| Contact details of provider: | Web page: http://www.blackwellpublishing.com/journal.asp?ref=0303-6898
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