Robust Tests in Semiparametric Partly Linear Models

This paper focuses on the problem of testing the null hypothesis that the regression parameter equals a fixed value under a semiparametric partly linear regression model by using a three-step robust estimate for the regression parameter and the regression function. Two families of tests statistics are considered and their asymptotic distributions are studied under the null hypothesis and under contiguous alternatives. A Monte Carlo study is performed to compare the finite sample behaviour of the proposed tests with the classical one. Copyright 2006 Board of the Foundation of the Scandinavian Journal of Statistics..