Testing goodness of fit for the distribution of errors in multivariate linear models
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References listed on IDEAS
- Fan, Yanqin, 1994. "Testing the Goodness of Fit of a Parametric Density Function by Kernel Method," Econometric Theory, Cambridge University Press, vol. 10(02), pages 316-356, June.
- Welsh, A. H., 1984. "A note on scale estimates based on the empirical characteristic function and their application to test for normality," Statistics & Probability Letters, Elsevier, vol. 2(6), pages 345-348, December.
- L. Baringhaus & N. Henze, 1988. "A consistent test for multivariate normality based on the empirical characteristic function," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 35(1), pages 339-348, December.
- Jushan Bai, 2003. "Testing Parametric Conditional Distributions of Dynamic Models," The Review of Economics and Statistics, MIT Press, vol. 85(3), pages 531-549, August.
- Epps, T. W., 1999. "Limiting behavior of the ICF test for normality under Gram-Charlier alternatives," Statistics & Probability Letters, Elsevier, vol. 42(2), pages 175-184, April.
- Fan, Yanqin, 1998. "Goodness-Of-Fit Tests Based On Kernel Density Estimators With Fixed Smoothing Parameters," Econometric Theory, Cambridge University Press, vol. 14(05), pages 604-621, October.
- Hall, Peter, 1984. "Central limit theorem for integrated square error of multivariate nonparametric density estimators," Journal of Multivariate Analysis, Elsevier, vol. 14(1), pages 1-16, February.
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- Meintanis, Simos G. & Ngatchou-Wandji, Joseph & Taufer, Emanuele, 2015. "Goodness-of-fit tests for multivariate stable distributions based on the empirical characteristic function," Journal of Multivariate Analysis, Elsevier, vol. 140(C), pages 171-192.
- V. Alba Fernández & D. Barrera Rosillo & M. Ibáñez Pérez & M. Jiménez Gamero, 2009. "A homogeneity test for bivariate random variables," Computational Statistics, Springer, vol. 24(3), pages 513-531, August.
- Heuchenne, Cédric & Van Keilegom, Ingrid, 2010. "Goodness-of-fit tests for the error distribution in nonparametric regression," Computational Statistics & Data Analysis, Elsevier, vol. 54(8), pages 1942-1951, August.
More about this item
KeywordsLinear models Distribution of errors Goodness-of-fit Residuals Characteristic function;
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