Goodness-of-fit tests for nonlinear heteroscedastic regression models

Jean Diebolt and Jacques Zuber

Statistics & Probability Letters, 1999, vol. 42, issue 1, 53-60

Abstract: This paper is devoted to goodness-of-fit tests for parametric possibly nonlinear heteroscedastic regression models. The test statistic is constructed using a marked empirical process based on residuals. We investigate the consistency of this test statistic and of the estimators needed to compute it. We illustrate our results with numerical experiments and comparisons to other tests.

Keywords: Goodness-of-fit; Nonlinear; regression; Gaussian; process; Principal; components; Exponential; regression; model (search for similar items in EconPapers)
Date: 1999
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Citations: View citations in EconPapers (6)

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