A comparison of alternative approaches to sup-norm goodness of git gests with estimated parameters

Thomas Parker

MPRA Paper from University Library of Munich, Germany

Abstract: Goodness of fit tests based on sup-norm statistics of empirical processes have nonstandard limit- ing distributions when the null hypothesis is composite — that is, when parameters of the null model are estimated. Several solutions to this problem have been suggested, including the calculation of adjusted critical values for these nonstandard distributions and the transformation of the empirical process such that statistics based on the transformed process are asymptotically distribution-free. The approximation methods proposed by Durbin (1985) can be applied to compute appropriate critical values for tests based on sup-norm statistics. The resulting tests have quite accurate size, a fact which has gone unrecognized in the econometrics literature. Some justification for this accuracy lies in the similar features that Durbin’s approximation methods share with the theory of extrema for Gaussian random fields and for Gauss-Markov processes. These adjustment techniques are also related to the transformation methodology proposed by Khmaladze (1981) through the score func- tion of the parametric model. Monte Carlo experiments suggest that these two testing strategies are roughly comparable to one another and more powerful than a simple bootstrap procedure.

Keywords: Goodness of fit test; Estimated parameters; Gaussian process; Gauss-Markov process; Boundary crossing probability; Martingale transformation (search for similar items in EconPapers)
JEL-codes: C12 C14 C46 (search for similar items in EconPapers)
Date: 2010-05-26
New Economics Papers: this item is included in nep-ecm
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https://mpra.ub.uni-muenchen.de/22926/1/MPRA_paper_22926.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/22961/1/MPRA_paper_22961.pdf revised version (application/pdf)
https://mpra.ub.uni-muenchen.de/36345/1/MPRA_paper_36345.pdf revised version (application/pdf)

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Working Paper: A comparison of alternative approaches to sup-norm goodness of fit tests with estimated parameters (2010)
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