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Goodness-of-fit tests for nonlinear heteroscedastic regression models

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  • Diebolt, Jean
  • Zuber, Jacques

Abstract

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.

Suggested Citation

  • Diebolt, Jean & Zuber, Jacques, 1999. "Goodness-of-fit tests for nonlinear heteroscedastic regression models," Statistics & Probability Letters, Elsevier, vol. 42(1), pages 53-60, March.
    • Handle: RePEc:eee:stapro:v:42:y:1999:i:1:p:53-60
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    Citations

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    Cited by:

    1. Gilles R. Ducharme & Bénédicte Fontez, 2004. "A Smooth Test of Goodness-of-Fit for Growth Curves and Monotonic Nonlinear Regression Models," Biometrics, The International Biometric Society, vol. 60(4), pages 977-986, December.
    2. Sergio Alvarez-Andrade & Salim Bouzebda, 2014. "Asymptotic results for hybrids of empirical and partial sums processes," Statistical Papers, Springer, vol. 55(4), pages 1121-1143, November.
    3. Wenceslao González-Manteiga & Rosa Crujeiras, 2013. "An updated review of Goodness-of-Fit tests for regression models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 22(3), pages 361-411, September.
    4. Joseph Ngatchou-Wandji & Madan L. Puri & Michel Harel & Echarif Elharfaoui, 2019. "Testing nonstationary and absolutely regular nonlinear time series models," Statistical Inference for Stochastic Processes, Springer, vol. 22(3), pages 557-593, October.
    5. Crainiceanu, Ciprian M. & Ruppert, David, 2004. "Likelihood ratio tests for goodness-of-fit of a nonlinear regression model," Journal of Multivariate Analysis, Elsevier, vol. 91(1), pages 35-52, October.
    6. Jakob Peterlin & Nataša Kejžar & Rok Blagus, 2023. "Correct specification of design matrices in linear mixed effects models: tests with graphical representation," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 32(1), pages 184-210, March.

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