Goodness-of-fit tests in nonparametric regression

John Einmahl and Ingrid Van Keilegom
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Ingrid Van Keilegom: Tilburg University, Center for Economic Research

No 79, Discussion Paper from Tilburg University, Center for Economic Research

Abstract: Consider the location-scale regression model Y = m(X)+o(X)", where the error e is independent of the covariate X, and m and o are smooth but unknown functions. We construct tests for the validity of this model and show that the asymptotic limits of the proposed test statistics are distribution free. We also investigate the finite sample properties of the tests through a simulation study, and we apply the tests in the analysis of data on food expenditures.

Keywords: 62G08; 62G10; 62G20; 62G30; 60F17 (search for similar items in EconPapers)
JEL-codes: C12 C14 C52 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm
Date: 2006
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Related works:
Working Paper: Goodness-of-fit tests in nonparametric regression (2004)
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Persistent link: http://EconPapers.repec.org/RePEc:dgr:kubcen:200679

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