Goodness-of-fit tests for nonlinear heteroscedastic regression models

✍ Scribed by Jean Diebolt; Jacques Zuber

• Publisher: Elsevier Science
• Year: 1999
• Tongue: English
• Weight: 128 KB
• Volume: 42
• Category: Article
• ISSN: 0167-7152
• DOI: 10.1016/s0167-7152(98)00189-8

✦ Synopsis

This paper is devoted to goodness-of-ÿt tests for parametric possibly nonlinear heteroscedastic regression models. The test statistic is constructed using a marked empirical process based on residuals. We investigate the consistency of this test statistic and of the estimators needed to compute it. We illustrate our results with numerical experiments and comparisons to other tests.