Economics at your fingertips  

Goodness-of-fit tests for functional data

Federico Bugni, Peter Hall, Joel L. Horowitz and George R. Neumann

Econometrics Journal, 2009, vol. 12, issue s1, S1-S18

Abstract: Economic data are frequently generated by stochastic processes that can be modelled as occurring in continuous time. That is, the data are treated as realizations of a random function (functional data). Sometimes an economic theory model specifies the process up to a finite-dimensional parameter. This paper develops a test of the null hypothesis that a given functional data set was generated by a specified parametric model of a continuous-time process. The alternative hypothesis is non-parametric. A random function is a form of infinite-dimensional random variable, and the test presented here a generalization of the familiar Cramér-von Mises test to an infinite dimensional random variable. The test is illustrated by using it to test the hypothesis that a sample of wage paths was generated by a certain equilibrium job search model. Simulation studies show that the test has good finite-sample performance. Copyright (C) The Author(s). Journal compilation (C) Royal Economic Society 2009

Date: 2009
References: Add references at CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed

Downloads: (external link) link to full text (text/html)
Access to full text is restricted to subscribers.

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:

Ordering information: This journal article can be ordered from

Access Statistics for this article

Econometrics Journal is currently edited by Richard J. Smith, Oliver Linton, Pierre Perron, Jaap Abbring and Marius Ooms

More articles in Econometrics Journal from Royal Economic Society Contact information at EDIRC.
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing ().

Page updated 2019-07-22
Handle: RePEc:ect:emjrnl:v:12:y:2009:i:s1:p:s1-s18