Date: 2007
Type: Working Paper
Specification tests for the distribution of errors in nonparametric regression: a martingale approach
Working Paper, EUI MWP, 2007/34
MORA, Juan, PEREZ ALONSO, Alicia, Specification tests for the distribution of errors in nonparametric regression: a martingale approach, EUI MWP, 2007/34 - https://hdl.handle.net/1814/7638
Retrieved from Cadmus, EUI Research Repository
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 the resulting test statistics are asymptotically
distribution-free, and a set of Monte Carlo experiments shows that they work reasonably
well in practice.
Cadmus permanent link: https://hdl.handle.net/1814/7638
ISSN: 1830-7728
Series/Number: EUI MWP; 2007/34
Publisher: European University Institute