Testing goodness of fit for the distribution of errors in multivariate linear models

M.D. Jiménez Gamero, J. Muñoz García and R. Pino Mejías

Journal of Multivariate Analysis, 2005, vol. 95, issue 2, 301-322

Abstract: In this paper, to test goodness of fit to any fixed distribution of errors in multivariate linear models, we consider a weighted integral of the squared modulus of the difference between the empirical characteristic function of the residuals and the characteristic function under the null hypothesis. We study the limiting behaviour of this test statistic under the null hypothesis and under alternatives. In the asymptotics, the rank of the design matrix is allowed to grow with the sample size.

Keywords: Linear; models; Distribution; of; errors; Goodness-of-fit; Residuals; Characteristic; function (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (3)

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