an:05840555
Zbl 1203.62069
Hu??kov??, Marie; Meintanis, Simos G.
Tests for the error distribution in nonparametric possibly heteroscedastic regression models
EN
Test 19, No. 1, 92-112 (2010).
00272825
2010
j
62G08 62E20 62G30 62G10 62G20 65C60
empirical characteristic function; kernel regression estimator; goodness-of-fit; parametric bootstrap
Summary: Consistent procedures are constructed for testing the goodness-of-fit of the error distribution in nonparametric regression models. The test starts with a kernel-type regression fit and proceeds with the construction of a test statistic in the form of an \(L _{2}\) distance between a parametric and a nonparametric estimates of the residual characteristic function. The asymptotic null distribution and the behavior of the test statistic under alternatives are investigated. A simulation study compares bootstrap versions of the proposed test to corresponding procedures utilizing the empirical distribution function.