On Bootstrapping M-Estimated Residual Processes in Multiple Linear-Regression Models

H. L. Koul and S. N. Lahiri

Journal of Multivariate Analysis, 1994, vol. 49, issue 2, 255-265

Abstract: It is shown, under fairly general conditions, that Efron's bootstrap procedure captures the limit distribution of weighted empirical processes based on M-estimated residuals in multiple linear regression models. As an application, we construct bootstrap confidence bands for the error distribution function F. The main result can also be used to design distribution-free goodness-of-fit tests for F without any recourse to the split-sample estimation of the regression parameters.

Date: 1994
References: Add references at CitEc
Citations: View citations in EconPapers (14)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0047-259X(84)71025-6
Full text for ScienceDirect subscribers only

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:eee:jmvana:v:49:y:1994:i:2:p:255-265

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Journal of Multivariate Analysis is currently edited by de Leeuw, J.

More articles in Journal of Multivariate Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().