A bootstrap version of the residual-based smooth empirical distribution function

Natalie Neumeyer

Journal of Nonparametric Statistics, 2008, vol. 20, issue 2, 153-174

Abstract: In this paper, we consider estimating the error distribution in a non-parametric regression model by a smooth version of the empirical distribution function of residuals. We show that a classical residual bootstrap version of the resulting residual-based empirical process joins the same limiting distribution. From this result, consistency of various goodness-of-fit tests in non-parametric regression models is obtained.

Date: 2008
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Citations: View citations in EconPapers (1)

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DOI: 10.1080/10485250801908363

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