Specification Tests for the Distribution of Errors in Nonoarametric RegressionA Martingale Approach

1. Mora López, Juan
2. Pérez Alonso, Alicia

Exportar

Exportar

×

MLA

modern-language-association

APA

apa

Chicago

chicago-fullnote-bibliography

Harvard

harvard-cite-them-right

Vancouver

vancouver-author-date

---

RIS BibTex

Exportar

×

El documento no se puede exportar porque pertenece a otro portal.

Texto completo

lock_openTexto completo externo

DIALNET GOOGLE SCHOLAR lock_openAcceso abierto editor

Resumen

We discuss how to test whether the distribution of regression errors belongs to a parametric family of continuous distribution functions, making no parametric assumption about the conditional mean or the conditional variance in the regression model. We propose using test statistics that are based on a martingale transform of the estimated empirical process. We prove that these statistics are asymptotically distribution-free, and two Monte Carlo experiments show that they work reasonably well in practice.

Fuente de los datos: Dialnet