Omnibus tests for the error distribution in the linear regression model

被引：22

作者：

Huskova, Marie

Meintanis, Simos G.

机构：

[1] Charles Univ Prague, Dept Stat, CZ-18675 Prague 8, Czech Republic

[2] Acad Sci Czech Republ, UTIA, Prague 18600, Czech Republic

[3] Natl & Kapodistrian Univ Athens, Dept Econ, Athens 10559, Greece

来源：

STATISTICS | 2007年 / 41卷 / 05期

关键词：

empirical characteristic function; regression estimators;

D O I：

10.1080/02331880701442643

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Test procedures are constructed for testing the goodness-of-fit of the error distribution in the regression context. The test statistic is based on an L-2-type distance between the characteristic function of the (assumed) error distribution and the empirical characteristic function of the residuals. The asymptotic null distribution as well as the behavior of the test statistic under contiguous alternatives is investigated, while the issue of the choice of suitable estimators has been particularly emphasized. Theoretical results are accompanied by a simulation study.

引用

页码：363 / 376

页数：14

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