Specification Tests for the Distribution of Errors in Nonoarametric Regression: A Martingale Approach
We discuss how to test whether the distribution of regression errors belongs to a parametric family of continuous distribution functions, making no parametric assumption about the conditional mean or the conditional variance in the regression model. We propose using test statistics that are based on a martingale transform of the estimated empirical process. We prove that these statistics are asymptotically distribution-free, and two Monte Carlo experiments show that they work reasonably well in practice.
|Date of creation:||Jun 2008|
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- Mora, Juan & Neumeyer, Natalie, 2005.
"The Two-Sample Problem with Regression Errors : An Empirical Process Approach,"
2005,05, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- Juan Mora, 2005. "The Two-Sample Problem With Regression Errors: An Empirical Process Approach," Working Papers. Serie AD 2005-18, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
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- Koul, Hira L. & Sakhanenko, Lyudmila, 2005. "Goodness-of-fit testing in regression: A finite sample comparison of bootstrap methodology and Khmaladze transformation," Statistics & Probability Letters, Elsevier, vol. 74(3), pages 290-302, October.
- 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.
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