Publication details for Jochen EinbeckMeintanis, Simos & Einbeck, Jochen (2015). Validation tests for semi-parametric models. Journal of Statistical Computation and Simulation 85(1): 131-146.
- Publication type: Journal Article
- ISSN/ISBN: 0094-9655 (print), 1563-5163 (electronic)
- DOI: 10.1080/00949655.2013.806922
- Keywords: Semi\-linear model, Goodness\-of\-fit test, Empirical characteristic function, Bootstrap test.
- Further publication details on publisher web site
- Durham Research Online (DRO) - may include full text
Author(s) from Durham
Tests are proposed for validation of the hypothesis that a partial linear regression model adequately describes the structure of a given data set. The test statistics are formulated following the approach of Fourier-type conditional expectations first suggested by Bierens [Consistent model specification tests. J Econometr. 1982;20:105–134]. The proposed procedures are computationally convenient, and under fairly mild conditions lead to consistent tests. Corresponding bootstrap versions are compared with alternative procedures for a wide selection of different estimators of the underlying partial linear model.