Goodness of fit tests in random coefficient regression models

Pedro Delicado

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: Random coefficient regressions have been applied in a wide range of fields, from biology to economics, and constitute a common frame for several important statistical models. A nonparametric approach to inference in random coefficient models was initiated by Beran and Hall. In this paper we introduce and study goodness of fit tests for the coefficient distributions; their asymptotic behaviour under the null hypothesis is obtained. We also propose bootstrap resampling strategies to approach these distributions and prove their asymptotic validity using results by Gine and Zinn on bootstrap empirical processes. A simulation study illustrates the properties of these tests.

Keywords: Goodness; of; fit; Linear; regression; Random; coefficient; Empirical; processes; Vapnik-Cervonenkis; classes (search for similar items in EconPapers)
Date: 1994-12
References: View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Goodness of Fit Tests in Random Coefficient Regression Models (1999)
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Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:3962

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