Goodness-of-Fit Tests for Parametric Regression Models Based on Empirical Characteristics Functions

Abstract

Test procedures are constructed for testing the goodness-of-fit in various parametric regression models. The test statistic is in the form of an L2 distance between the empirical characteristic function of the residuals in a parametric regression fit and the corresponding empirical characteristic function of the residuals in a non-parametric regression fit.

The asymptotic null distribution as well as the behavior of the test statistic under contiguous alternatives is investigated. Theoretical results are accompanied by a simulation study.

Keywords

• Goodness-of-Fit
• Tests
• Parametric
• Regression
• Models
• Based
• Empirical
• Characteristics
• Functions