Kybernetika 45 no. 6, 960-971, 2009

Goodness-of-Fit Tests for Parametric Regression Models Based on Empirical Characteristic Functions

Marie Hušková and Simos G. Meintanis

Abstract:

Test procedures are constructed for testing the goodness-of-fit in parametric regression models. The test statistic is in the form of an L2 distance between the empirical characteristic function of the residuals in a parametric regression fit and the corresponding empirical characteristic function of the residuals in a non-parametric regression fit. The asymptotic null distribution as well as the behavior of the test statistic under contiguous alternatives is investigated. Theoretical results are accompanied by a simulation study.

Keywords:

empirical characteristic function, kernel regression estimators

Classification:

62J05, 62F05