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Model checking for a general linear model with nonignorable missing covariates. (English) Zbl 1356.62088

Summary: In this paper, we investigate the model checking problem for a general linear model with nonignorable missing covariates. We show that, without any parametric model assumption for the response probability, the least squares method yields consistent estimators for the linear model even if only the complete data are applied. This makes it feasible to propose two testing procedures for the corresponding model checking problem: a score type lack-of-fit test and a test based on the empirical process. The asymptotic properties of the test statistics are investigated. Both tests are shown to have asymptotic power 1 for local alternatives converging to the null at the rate \(n^{-r}\), \(0\leq r <\frac{1}{2}\). Simulation results show that both tests perform satisfactorily.

MSC:

62J05 Linear regression; mixed models
62G10 Nonparametric hypothesis testing
62G20 Asymptotic properties of nonparametric inference
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