The Two-Sample Problem with Regression Errors: An Empirical Process Approach

Juan Mora () and Natalie Neumeyer

No 2005,05, Technical Reports from Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen

Abstract: We describe how to test the null hypothesis that errors from two parametrically specified regression models have the same distribution versus a general alternative. First we obtain the asymptotic properties of teststatistics derived from the difference between the two residual-based empirical distribution functions. Under the null distribution they are not asymptotically distribution free and, hence, a consistent bootstrap procedure is proposed to compute critical values. As an alternative, we describe how to perform the test with statistics based on martingale-transformed empirical processes, which are asymptotically distribution free. Some Monte Carlo experiments are performed to compare the behaviour of all statistics with moderate sample sizes.

Date: 2005
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Citations: View citations in EconPapers (2)

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Related works:
Working Paper: THE TWO-SAMPLE PROBLEM WITH REGRESSION ERRORS: AN EMPIRICAL PROCESS APPROACH (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:sfb475:200505

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