Specification Tests for the Distribution of Errors in Nonoarametric Regression: A Martingale Approach

Alicia Pérez Alonso () and Juan Mora ()
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Alicia Pérez Alonso: Universidad de Alicante
Authors registered in the RePEc Author Service: Alicia Pérez-Alonso

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

Abstract: 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.

Keywords: Specification Tests; Nonparametric Regression; Empirical Processes. (search for similar items in EconPapers)
Pages: 36 pages
Date: 2008-06
New Economics Papers: this item is included in nep-ecm and nep-ore
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:ivi:wpasad:2008-11

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