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Goodness-of-fit tests in semi-linear models.

Meintanis, Simos and Einbeck, Jochen (2012) 'Goodness-of-fit tests in semi-linear models.', Statistics and computing., 22 (4). pp. 967-979.

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.

Item Type:Article
Keywords:Semiparametric model, Goodness-of-fit test, Symmetry test, Empirical characteristic function, Bootstrap test.
Full text:(AM) Accepted Manuscript
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Status:Peer-reviewed
Publisher Web site:http://dx.doi.org/10.1007/s11222-011-9266-8
Publisher statement:The final publication is available at Springer via http://dx.doi.org/10.1007/s11222-011-9266-8.
Record Created:15 Apr 2014 15:35
Last Modified:16 Apr 2014 10:46

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