EconPapers    
Economics at your fingertips  
 

Some Methodological Aspects of Validation of Models in Nonparametric Regression

Holger Dette and Axel Munk

Statistica Neerlandica, 2003, vol. 57, issue 2, 207-244

Abstract: In this paper we describe some general methods for constructing goodness of fit tests in nonparametric regression models. Our main concern is the development of statisticial methodology for the assessment (validation) of specific parametric models ℳ as they arise in various fields of applications. The fundamental idea which underlies all these methods is the investigation of certain goodness of fit statistics (which may depend on the particular problem and may be driven by different criteria) under the assumption that a specified model (which has to be validated) holds true as well as under a broad range of scenaria, where this assumption is violated. This is motivated by the fact that outcomes of tests for the classical hypothesis: “The model ℳ holds true” (and their associated p values) bear various methodological flaws. Hence, our suggestion is always to accompany such a test by an analysis of the type II error, which is in goodness of fit problems often the more serious one. We give a careful description of the methodological aspects, the required asymptotic theory, and illustrate the main principles in the problem of testing model assumptions such as a specific parametric form or homoscedasticity in nonparametric regression models.

Date: 2003
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

Downloads: (external link)
https://doi.org/10.1111/1467-9574.00228

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:stanee:v:57:y:2003:i:2:p:207-244

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0039-0402

Access Statistics for this article

Statistica Neerlandica is currently edited by Miroslav Ristic, Marijtje van Duijn and Nan van Geloven

More articles in Statistica Neerlandica from Netherlands Society for Statistics and Operations Research
Bibliographic data for series maintained by Wiley Content Delivery ().

 
Page updated 2025-03-19
Handle: RePEc:bla:stanee:v:57:y:2003:i:2:p:207-244