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Validation tests for semi-parametric models.

Meintanis, Simos and Einbeck, Jochen (2013) 'Validation tests for semi-parametric models.', Journal of statistical computation and simulation., 85 (1). pp. 131-146.

Abstract

Tests are proposed for validation of the hypothesis that a partial linear regression model adequately describes the structure of a given data set. The test statistics are formulated following the approach of Fourier-type conditional expectations first suggested by Bierens [Consistent model specification tests. J Econometr. 1982;20:105–134]. The proposed procedures are computationally convenient, and under fairly mild conditions lead to consistent tests. Corresponding bootstrap versions are compared with alternative procedures for a wide selection of different estimators of the underlying partial linear model.

Item Type:Article
Additional Information:Special Issue: Includes the Special Issue: Selected Papers from the 46th Statistical Computing Conference, 20-23 July 2013, Reisenberg, Germany.
Keywords:Semi-linear model, Goodness-of-fit 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/10.1080/00949655.2013.806922
Publisher statement:This is an Accepted Manuscript of an article published by Taylor & Francis Group in Journal of Statistical Computation and Simulation on 18/06/2013, available online at: http://www.tandfonline.com/10.1080/00949655.2013.806922.
Record Created:15 Apr 2014 16:05
Last Modified:15 Oct 2014 13:59

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