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A comparison of alternative approaches to sup-norm goodness of git gests with estimated parameters

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  • Parker, Thomas

Abstract

Goodness of fit tests based on sup-norm statistics of empirical processes have nonstandard limit- ing 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 func- tion 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.

Suggested Citation

  • Parker, Thomas, 2010. "A comparison of alternative approaches to sup-norm goodness of git gests with estimated parameters," MPRA Paper 22926, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:22926
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    References listed on IDEAS

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    1. Delgado, Miguel A. & Stute, Winfried, 2008. "Distribution-free specification tests of conditional models," Journal of Econometrics, Elsevier, vol. 143(1), pages 37-55, March.
    2. 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.
    3. Roger Koenker & Zhijie Xiao, 2002. "Inference on the Quantile Regression Process," Econometrica, Econometric Society, vol. 70(4), pages 1583-1612, July.
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    Cited by:

    1. Richard Spady & Sami Stouli, 2016. "Dual regression," CeMMAP working papers CWP04/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.

    More about this item

    Keywords

    Goodness of fit test; Estimated parameters; Gaussian process; Gauss-Markov process; Boundary crossing probability; Martingale transformation;

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions

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