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Goodness-of-fit tests in semiparametric transformation models using the integrated regression function

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  • Colling, Benjamin
  • Van Keilegom, Ingrid

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  • Colling, Benjamin & Van Keilegom, Ingrid, 2016. "Goodness-of-fit tests in semiparametric transformation models using the integrated regression function," LIDAM Discussion Papers ISBA 2016031, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvad:2016031
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    References listed on IDEAS

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    1. Jacho-Chávez, David & Lewbel, Arthur & Linton, Oliver, 2010. "Identification and nonparametric estimation of a transformed additively separable model," Journal of Econometrics, Elsevier, vol. 156(2), pages 392-407, June.
    2. J. A. John & N. R. Draper, 1980. "An Alternative Family of Transformations," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 29(2), pages 190-197, June.
    3. MacKinnon, James G & Magee, Lonnie, 1990. "Transforming the Dependent Variable in Regression Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 31(2), pages 315-339, May.
    4. Neumeyer, N. & Van Keilegom, I., 2010. "Estimating the error distribution in nonparametric multiple regression with applications to model testing," LIDAM Reprints ISBA 2010006, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    5. Escanciano, J. Carlos, 2006. "A Consistent Diagnostic Test For Regression Models Using Projections," Econometric Theory, Cambridge University Press, vol. 22(6), pages 1030-1051, December.
    6. Gorgens, Tue & Horowitz, Joel L., 1999. "Semiparametric estimation of a censored regression model with an unknown transformation of the dependent variable," Journal of Econometrics, Elsevier, vol. 90(2), pages 155-191, June.
    7. Ingrid Keilegom & Wenceslao González Manteiga & César Sánchez Sellero, 2008. "Goodness-of-fit tests in parametric regression based on the estimation of the error distribution," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 17(2), pages 401-415, August.
    8. Wenceslao González-Manteiga & Rosa Crujeiras, 2013. "Rejoinder on: An updated review of Goodness-of-Fit tests for regression models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 22(3), pages 442-447, September.
    9. Escanciano, J. Carlos, 2006. "Goodness-of-Fit Tests for Linear and Nonlinear Time Series Models," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 531-541, June.
    10. Wenceslao González-Manteiga & Rosa Crujeiras, 2013. "An updated review of Goodness-of-Fit tests for regression models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 22(3), pages 361-411, September.
    11. Neumeyer, Natalie & Noh, Hohsuk & Van Keilegom, Ingrid, 2016. "Heteroscedastic semiparametric transformation models: estimation and testing for validity," LIDAM Reprints ISBA 2016021, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    12. Bierens, Herman J, 1990. "A Consistent Conditional Moment Test of Functional Form," Econometrica, Econometric Society, vol. 58(6), pages 1443-1458, November.
    13. Winfried Stute & Li‐Xing Zhu, 2002. "Model Checks for Generalized Linear Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 29(3), pages 535-545, September.
    14. Stinchcombe, Maxwell B. & White, Halbert, 1998. "Consistent Specification Testing With Nuisance Parameters Present Only Under The Alternative," Econometric Theory, Cambridge University Press, vol. 14(3), pages 295-325, June.
    15. Herman J. Bierens & Werner Ploberger, 1997. "Asymptotic Theory of Integrated Conditional Moment Tests," Econometrica, Econometric Society, vol. 65(5), pages 1129-1152, September.
    16. Heuchenne, Cedric & Samb, Rawane & Van Keilegom, Ingrid, 2015. "Estimating the error distribution in semiparametric transformation models," LIDAM Reprints ISBA 2015025, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    17. Neumeyer, Natalie & Van Keilegom, Ingrid, 2010. "Estimating the error distribution in nonparametric multiple regression with applications to model testing," Journal of Multivariate Analysis, Elsevier, vol. 101(5), pages 1067-1078, May.
    18. A. Zellner & N. S. Revankar, 1969. "Generalized Production Functions," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 36(2), pages 241-250.
    19. Benjamin Colling & Cédric Heuchenne & Rawane Samb & Ingrid Van Keilegom, 2015. "Estimation of the error density in a semiparametric transformation model," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 67(1), pages 1-18, February.
    20. Horowitz, Joel L, 2001. "Nonparametric Estimation of a Generalized Additive Model with an Unknown Link Function," Econometrica, Econometric Society, vol. 69(2), pages 499-513, March.
    21. Colling, Benjamin & Van Keilegom, Ingrid, 2016. "Goodness-of-fit tests in semiparametric transformation models," LIDAM Reprints ISBA 2016018, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    22. Michael G. Akritas & Ingrid Van Keilegom, 2001. "Non‐parametric Estimation of the Residual Distribution," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 28(3), pages 549-567, September.
    23. Natalie Neumeyer, 2009. "Smooth Residual Bootstrap for Empirical Processes of Non‐parametric Regression Residuals," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 36(2), pages 204-228, June.
    24. Whang, Yoon-Jae, 2000. "Consistent bootstrap tests of parametric regression functions," Journal of Econometrics, Elsevier, vol. 98(1), pages 27-46, September.
    25. Bierens, Herman J., 1984. "Model specification testing of time series regressions," Journal of Econometrics, Elsevier, vol. 26(3), pages 323-353, December.
    26. Colling, Benjamin & Heuchenne, Cedric & Samb, Rawane & Van Keilegom, Ingrid, 2015. "Estimation of the Error Density in a Semiparametric Transformation Model," LIDAM Reprints ISBA 2015002, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    27. Horowitz, Joel L, 1996. "Semiparametric Estimation of a Regression Model with an Unknown Transformation of the Dependent Variable," Econometrica, Econometric Society, vol. 64(1), pages 103-137, January.
    28. Bierens, Herman J., 1982. "Consistent model specification tests," Journal of Econometrics, Elsevier, vol. 20(1), pages 105-134, October.
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    Cited by:

    1. Marie Hušková & Simos G. Meintanis & Charl Pretorius, 2022. "Tests for heteroskedasticity in transformation models," Statistical Papers, Springer, vol. 63(4), pages 1013-1049, August.
    2. Nick Kloodt & Natalie Neumeyer & Ingrid Keilegom, 2021. "Specification testing in semi-parametric transformation models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 30(4), pages 980-1003, December.
    3. Natalie Neumeyer & Leonie Selk & Charles Tillier, 2020. "Semi-parametric transformation boundary regression models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 72(6), pages 1287-1315, December.

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