IDEAS home Printed from https://ideas.repec.org/a/taf/emetrv/v28y2009i6p632-657.html
   My bibliography  Save this article

Asymptotically Distribution-Free Goodness-of-Fit Testing: A Unifying View

Author

Listed:
  • Bo Li

Abstract

We outline a general paradigm for constructing asymptotically distribution-free (ADF) goodness-of-fit tests, which can be regarded as a generalization of Khmaladze (1993). This is achieved by a nonorthogonal projection of a class of functions onto the ortho-complement of the extended tangent space (ETS) associated with the null hypothesis. In parallel with the work of Bickel et al. (2006), we obtain transformed empirical processes (TEP) which are the building blocks for constructing omnibus tests such as the usual Kolmogorov-Smirnov type tests and Cramer-von Mise type tests, as well as Portmanteau tests and directional tests. The critical values can be tabulated due to the ADF property. All the tests are capable of detecting local (Pitman) alternative at the root-n scale. We shall illustrate the framework in several examples, mostly in regression model specification testing.

Suggested Citation

  • Bo Li, 2009. "Asymptotically Distribution-Free Goodness-of-Fit Testing: A Unifying View," Econometric Reviews, Taylor & Francis Journals, vol. 28(6), pages 632-657.
    • Handle: RePEc:taf:emetrv:v:28:y:2009:i:6:p:632-657
    DOI: 10.1080/07474930903038933
    as

    Download full text from publisher

    File URL: http://www.tandfonline.com/doi/abs/10.1080/07474930903038933
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/07474930903038933?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Parker, Thomas, 2010. "A comparison of alternative approaches to sup-norm goodness of git gests with estimated parameters," MPRA Paper 22926, University Library of Munich, Germany.
    2. Chung, EunYi & Olivares, Mauricio, 2021. "Permutation test for heterogeneous treatment effects with a nuisance parameter," Journal of Econometrics, Elsevier, vol. 225(2), pages 148-174.
    3. Chen, Qiang & Zheng, Xu & Pan, Zhiyuan, 2015. "Asymptotically distribution-free tests for the volatility function of a diffusion," Journal of Econometrics, Elsevier, vol. 184(1), pages 124-144.
    4. Bontemps, Christian, 2014. "Simple moment-based tests for value-at-risk models and discrete distribution," TSE Working Papers 14-535, Toulouse School of Economics (TSE).
    5. Bontemps, Christian, 2013. "Moment-Based Tests for Discrete Distributions," IDEI Working Papers 772, Institut d'Économie Industrielle (IDEI), Toulouse, revised Oct 2014.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:emetrv:v:28:y:2009:i:6:p:632-657. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: the person in charge (email available below). General contact details of provider: http://www.tandfonline.com/LECR20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.