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Lack-of-fit testing in errors-in-variables regression model with validation data

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  • Song, Weixing

Abstract

A score-type test procedure is proposed for checking the adequacy of the errors-in-variables regression model when validation data are available. Under mild conditions, the score-type test statistic is proven to be asymptotically normal. The test procedure is shown to be consistent against general fixed alternatives and it can detect local alternatives which are close to the null model at the parametric rate. Monte-Carlo simulations are conducted to evaluated the finite sample performance of the proposed test.

Suggested Citation

  • Song, Weixing, 2009. "Lack-of-fit testing in errors-in-variables regression model with validation data," Statistics & Probability Letters, Elsevier, vol. 79(6), pages 765-773, March.
    • Handle: RePEc:eee:stapro:v:79:y:2009:i:6:p:765-773
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    References listed on IDEAS

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    1. Song, Weixing, 2008. "Model checking in errors-in-variables regression," Journal of Multivariate Analysis, Elsevier, vol. 99(10), pages 2406-2443, November.
    2. Sepanski, J. H. & Carroll, R. J., 1993. "Semiparametric quasilikelihood and variance function estimation in measurement error models," Journal of Econometrics, Elsevier, vol. 58(1-2), pages 223-256, July.
    3. Wang, Qihua, 1999. "Estimation of Partial Linear Error-in-Variables Models with Validation Data," Journal of Multivariate Analysis, Elsevier, vol. 69(1), pages 30-64, April.
    4. Wang, Qihua, 2003. "Dimension reduction in partly linear error-in-response models with validation data," Journal of Multivariate Analysis, Elsevier, vol. 85(2), pages 234-252, May.
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    Cited by:

    1. Zhihua Sun & Dongshan Luo & Xiaohua Zhou & Qingzhao Zhang, 2021. "Comparative studies on the adequacy check of parametric measurement error models with auxiliary variable," Statistical Papers, Springer, vol. 62(4), pages 1723-1751, August.
    2. Otsu, Taisuke & Taylor, Luke, 2021. "Specification Testing For Errors-In-Variables Models," Econometric Theory, Cambridge University Press, vol. 37(4), pages 747-768, August.

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