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Goodness-of-fit tests for nonlinear heteroscedastic regression models

This paper is devoted to goodness-of-fit 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.
Year of publication:
1999
Authors: Diebolt, Jean ; Zuber, Jacques
Published in:
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 42.1999, 1, p. 53-60
Publisher: Elsevier
Keywords: Goodness-of-fit Nonlinear regression Gaussian process Principal components Exponential regression model
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Type of publication: Article
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Persistent link: https://www.econbiz.de/10005074800
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