Goodness-of-fit tests in semi-linear models

Meintanis, Simos; Einbeck, Jochen

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: Apr 16, 2014
• 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.
• Public URL: https://durham-repository.worktribe.com/output/1505856