Specification tests for the distribution of errors in nonparametric regression: a martingale approach Articles uri icon

authors

  • MORA LOPEZ, JUAN
  • PEREZ ALONSO, ALICIA

publication date

  • May 2009

start page

  • 441

end page

  • 452

issue

  • 4

volume

  • 21

International Standard Serial Number (ISSN)

  • 1048-5252

Electronic International Standard Serial Number (EISSN)

  • 1029-0311

abstract

  • We discuss how to test whether the distribution of regression errors belongs to a parametric family of continuous distribution functions, making no parametric assumption about the conditional mean or the conditional variance in the regression model.We propose using test statistics that are based on a martingale transform of the estimated empirical process.We prove that these statistics are asymptotically distributionfree, and two Monte Carlo experiments show that they work reasonably well in practice.