49 research outputs found
A note on nonparametric testing for Gaussian innovations in AR-ARCH models
In this paper we consider autoregressive models with conditional
autoregressive variance, including the case of homoscedastic AR-models and the
case of ARCH models. Our aim is to test the hypothesis of normality for the
innovations in a completely nonparametric way, i. e. without imposing
parametric assumptions on the conditional mean and volatility functions. To
this end the Cram\'er-von Mises test based on the empirical distribution
function of nonparametrically estimated residuals is shown to be asymptotically
distribution-free. We demonstrate its good performance for finite sample sizes
in a simulation study
Testing for symmetric error distribution in nonparametric regression models
For the problem of testing symmetry of the error distribution in a nonparametric regression model we propose as a test statistic the difference between the two empirical distribution functions of estimated residuals and their counterparts with opposite signs. The weak convergence of the difference process to a Gaussian process is shown. The covariance structure of this process depends heavily on the density of the error distribution, and for this reason the performance of a symmetric wild bootstrap procedure is discussed in asymptotic theory and by means of a simulation study. In contrast to the available procedures the new test is also applicable under heteroscedasticity. --empirical process of residuals,testing for symmetry,nonparametric regression
The Two-Sample Problem with Regression Errors : An Empirical Process Approach
We describe how to test the null hypothesis that errors from two parametrically specified regression models have the same distribution versus a general alternative. First we obtain the asymptotic properties of teststatistics derived from the difference between the two residual-based empirical distribution functions. Under the null distribution they are not asymptotically distribution free and, hence, a consistent bootstrap procedure is proposed to compute critical values. As an alternative, we describe how to perform the test with statistics based on martingale-transformed empirical processes, which are asymptotically distribution free. Some Monte Carlo experiments are performed to compare the behaviour of all statistics with moderate sample sizes. --
Heteroscedastic semiparametric transformation models: estimation and testing for validity
In this paper we consider a heteroscedastic transformation model, where the
transformation belongs to a parametric family of monotone transformations, the
regression and variance function are modelled nonparametrically and the error
is independent of the multidimensional covariates. In this model, we first
consider the estimation of the unknown components of the model, namely the
transformation parameter, regression and variance function and the distribution
of the error. We show the asymptotic normality of the proposed estimators.
Second, we propose tests for the validity of the model, and establish the
limiting distribution of the test statistics under the null hypothesis. A
bootstrap procedure is proposed to approximate the critical values of the
tests. Finally, we carry out a simulation study to verify the small sample
behavior of the proposed estimators and tests.Comment: 33 pages, 1 figur
Testing multivariate economic restrictions using quantiles: the example of Slutsky negative semidefiniteness
This paper is concerned with testing rationality restrictions using quantile regression methods. Specifically, we consider negative semidefiniteness of the Slutsky matrix, arguably the core restriction implied by utility maximization. We consider a heterogeneous population characterized by a system of nonseparable structural equations with infinite dimensional unobservable. To analyze the economic restriction, we employ quantile regression methods because they allow us to utilize the entire distribution of the data. Difficulties arise because the restriction involves several equations, while the quantile is a univariate concept. We establish that we may test the economic restriction by considering quantiles of linear combinations of the dependent variable. For this hypothesis we develop a new empirical process based test that applies kernel quantile estimators, and derive its large sample behavior. We investigate the performance of the test in a simulation study. Finally, we apply all concepts to Canadian individual data, and show that rationality is an acceptable description of actual individual behavior.