Goodness-of-fit tests in nonparametric regression

John Einmahl and . van Keilegom
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. van Keilegom: Tilburg University, Center for Economic Research

No 12, Discussion Paper from Tilburg University, Center for Economic Research

Abstract: Consider the nonparametric regression model Y = m(X)+", where the function m is smooth, but unknown, and " is independent of X. We construct omnibus goodness-of-fit tests, based on n independent copies of (X; Y ), for the independence of " and X and establish asymptotic results for the proposed tests statistics. We investigate their finite sample properties through a simulation study and present an econometric application to household data. One testing procedure is based on differences of neighboring Y's, whereas the other one makes use of an estimator of m. The proofs are based on delicate weighted empirical process theory.

New Economics Papers: this item is included in nep-ecm and nep-rmg
Date: 2004
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Related works:
Working Paper: Goodness-of-fit tests in nonparametric regression (2006)
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Persistent link: http://EconPapers.repec.org/RePEc:dgr:kubcen:200412

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