Goodness-of-fit tests in semi-linear models

Authors:
Simos G. Meintanis;Jochen Einbeck
Affiliations:
Department of Economics, National and Kapodistrian University of Athens, Athens, Greece 105 59;Department of Mathematical Sciences, Durham University, Durham City, UK DH1 3LE
Venue:
Statistics and Computing
Year:
2012

Citing 5
Cited 0

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Abstract

Specification tests for the error distribution are proposed in semi-linear models, including the partial linear model and additive models. The tests utilize an integrated distance involving the empirical characteristic function of properly estimated residuals. These residuals are obtained from an initial estimation step involving a combination of penalized least squares and smoothing techniques. A bootstrap version of the tests is utilized in order to study the small sample behavior of the procedures in comparison with more classical approaches. As an example, the tests are applied on some real data sets.