Tests for the error distribution in nonparametric possibly heteroscedastic regression models

DOI10.1007/S11749-008-0135-5zbMath1203.62069OpenAlexW2078173250MaRDI QIDQ619163

Simos G. Meintanis, Marie Hušková

Publication date: 22 January 2011

Published in: Test (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11749-008-0135-5

zbMATH Keywords

empirical characteristic functiongoodness-of-fitparametric bootstrapkernel regression estimator

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Order statistics; empirical distribution functions (62G30)

Related Items (18)

Unnamed Item ⋮ An updated review of goodness-of-fit tests for regression models ⋮ Comments on: ``An updated review of goodness-of-fit tests for regression models ⋮ A Cramér-von Mises test for symmetry of the error distribution in asymptotically stationary stochastic models ⋮ Comments on: ``Tests for multivariate normality -- a critical review with emphasis on weighted \(L^2\)-statistics ⋮ Tests for independence in non-parametric heteroscedastic regression models ⋮ A Review on Dimension-Reduction Based Tests For Regressions ⋮ Goodness-of-fit tests for the error distribution in nonparametric regression ⋮ Tests for Symmetric Error Distribution in Linear and Nonparametric Regression Models ⋮ Goodness-of-fit tests in semi-linear models ⋮ A Class of Goodness-of-fit Tests Based on Transformation ⋮ A Non‐parametric <scp>ANOVA</scp>‐type Test for Regression Curves Based on Characteristic Functions ⋮ Testing normality of a large number of populations ⋮ On the empirical characteristic function process of the residuals in GARCH models and applications ⋮ Comments on: ``An updated review of goodness-of-fit tests for regression models ⋮ Tests for validity of the semiparametric heteroskedastic transformation model ⋮ Validation tests for semi-parametric models ⋮ A model specification test for the variance function in nonparametric regression

Cites Work

• Tests for location-scale families based on the empirical characteristic function
• Goodness-of-fit test with nuisance regression and scale
• Martingale transforms goodness-of-fit tests in regression models.
• Testing goodness of fit for the distribution of errors in multivariate linear models
• Non-parametric Estimation of the Residual Distribution
• BOOTSTRAP TESTS FOR THE ERROR DISTRIBUTION IN LINEAR AND NONPARAMETRIC REGRESSION MODELS
• Limit theorems for sums of weakly dependent Banach space valued random variables
• Omnibus tests for the error distribution in the linear regression model

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