Testing for normality in linear regression models using regression and scale equivariant estimators
In this paper we provide a general solution to the problem of controlling the probability of a type I error in normality tests for the disturbances in linear regressions when using robust-regression residuals. We show that many classes of well-known robust regression estimators belong to the class of regression and scale equivariant estimators. It is these equivariance properties that are used to reduce the nuisance parameter space under the null, from which we develop Monte Carlo and Maximized Monte Carlo tests for the null of disturbance normality. Finally, we illustrate in a simulation experiment the potential power gains from using robust-regression residuals in testing this null hypothesis.
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- DUFOUR, Jean-Marie, 2005.
"Monte Carlo Tests with Nuisance Parameters: A General Approach to Finite-Sample Inference and Nonstandard Asymptotics,"
Cahiers de recherche
2005-03, Universite de Montreal, Departement de sciences economiques.
- Dufour, Jean-Marie, 2006. "Monte Carlo tests with nuisance parameters: A general approach to finite-sample inference and nonstandard asymptotics," Journal of Econometrics, Elsevier, vol. 133(2), pages 443-477, August.
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