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Goodness-of-fit test for linear models based on local polynomials. (English) Zbl 0946.62016
Summary: We test if a regression function belongs to a class of parametric models by measuring the discrepancy between a parametric fit and a local polynomial regression. The proposed test is a weighted \(L^2\)-norm of a smoothed function based on the parametric residuals.

MSC:
62F03 Parametric hypothesis testing
62G08 Nonparametric regression and quantile regression
62G09 Nonparametric statistical resampling methods
62G10 Nonparametric hypothesis testing
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