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A comparison of alternative approaches to sup-norm goodness of fit tests with estimated parameters

  • Thomas Parker

Goodness of fit tests based on sup-norm statistics of empirical processes have nonstandard limiting distributions when the null hypothesis is composite-that is, when parameters of the null model are estimated. Several solutions to this problem have been suggested, including the calculation of adjusted critical values for these nonstandard distributions and the transformation of the empirical process such that statistics based on the transformed process are asymptotically distribution-free. The approximation methods proposed by Durbin (1985) can be applied to compute appropriate critical values for tests based on sup-norm statistics. The resulting tests have quite accurate size, a fact which has gone unrecognized in the econometrics literature. Some justification for this accuracy lies in the similar features that Durbin's approximation methods share with the theory of extrema for Gaussian random fields and for Gauss-Markov processes. These adjustment techniques are also related to the transformation methodology proposed by Khmaladze (1981) through the score function of the parametric model. Monte Carlo experiments suggest that these two testing strategies are roughly comparable to one another and more powerful than a simple bootstrap procedure.

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Paper provided by Centre for Microdata Methods and Practice, Institute for Fiscal Studies in its series CeMMAP working papers with number CWP34/10.

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Date of creation: Nov 2010
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Handle: RePEc:ifs:cemmap:34/10
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  1. Roger Koenker & Zhijie Xiao, 2002. "Inference on the Quantile Regression Process," Econometrica, Econometric Society, vol. 70(4), pages 1583-1612, July.
  2. Delgado, Miguel A. & Stute, Winfried, 2008. "Distribution-free specification tests of conditional models," Journal of Econometrics, Elsevier, vol. 143(1), pages 37-55, March.
  3. Haywood, John & Khmaladze, Estate, 2008. "On distribution-free goodness-of-fit testing of exponentiality," Journal of Econometrics, Elsevier, vol. 143(1), pages 5-18, March.
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