THE TWO-SAMPLE PROBLEM WITH REGRESSION ERRORS: AN EMPIRICAL PROCESS APPROACH

Juan Mora ()

Working Papers. Serie AD from Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie)

Abstract: We describe how to test the null hypothesis that errors from two parametrically specified regression models have the same distribution versus a general alternative. First we obtain the asymptotic properties of test-statistics derived from the difference between the two residual-based empirical distribution functions. Under the null distribution they are not asymptotically distribution free and, hence, a consistent bootstrap procedure is proposed to compute critical values. As an alternative, we describe how to perform the test with statistics based on martingale-transformed empirical processes, which are asymptotically distribution free. Some Monte Carlo experiments are performed to compare the behaviour of all statistics with moderate sample sizes.

Keywords: Two-Sample Problem; Residual-Based Empirical Process; Smooth Bootstrap; Martingale Transform (search for similar items in EconPapers)
Pages: 52 pages
Date: 2005-05
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:ivi:wpasad:2005-18

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