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Goodness-of-fit tests in semi-linear models

Meintanis, Simos; Einbeck, Jochen

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Authors

Simos Meintanis



Abstract

Specification tests for the error distribution are proposed in semi-linear models, including the partial linear model and additive models. The tests utilize an integrated distance involving the empirical characteristic function of properly estimated residuals. These residuals are obtained from an initial estimation step involving a combination of penalized least squares and smoothing techniques. A bootstrap version of the tests is utilized in order to study the small sample behavior of the procedures in comparison with more classical approaches. As an example, the tests are applied on some real data sets.

Citation

Meintanis, S., & Einbeck, J. (2012). Goodness-of-fit tests in semi-linear models. Statistics and Computing, 22(4), 967-979. https://doi.org/10.1007/s11222-011-9266-8

Journal Article Type Article
Publication Date Jul 1, 2012
Deposit Date Aug 23, 2011
Publicly Available Date Mar 29, 2024
Journal Statistics and Computing
Print ISSN 0960-3174
Electronic ISSN 1573-1375
Publisher Springer
Peer Reviewed Peer Reviewed
Volume 22
Issue 4
Pages 967-979
DOI https://doi.org/10.1007/s11222-011-9266-8
Keywords Semiparametric model, Goodness-of-fit test, Symmetry test, Empirical characteristic function, Bootstrap test.

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