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Goodness-of-fit tests for semiparametric and parametric hypotheses based on the probability weighted empirical characteristic function

Simos G. Meintanis (), James Allison and Leonard Santana
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Simos G. Meintanis: National and Kapodistrian University of Athens
James Allison: North-West University
Leonard Santana: North-West University

Statistical Papers, 2016, vol. 57, issue 4, 957-976

Abstract: Abstract We investigate the finite-sample properties of certain procedures which employ the novel notion of the probability weighted empirical characteristic function. The procedures considered are: (1) Testing for symmetry in regression, (2) Testing for multivariate normality with independent observations, and (3) Testing for multivariate normality of random effects in mixed models. Along with the new tests alternative methods based on the ordinary empirical characteristic function as well as other more well known procedures are implemented for the purpose of comparison.

Keywords: Characteristic function; Empirical characteristic function; Goodness-of-fit test; Mixed model; Multivariate normal distribution; Test for symmetry; 62F03; 62G10; 62H15 (search for similar items in EconPapers)
Date: 2016
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