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Random coefficient regressions: parametric goodness of fit tests

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  • Delicado, Pedro

Abstract

Random coefficient regression models have been applied in different fields during recent years and they are a unifying frame for many statistical models. Recently, Beran and Hall (1992) opened the question of the nonparametric study of the distribution of the coefficients. Nonparametric goodness of fit tests were considered in Delicado and Romo (1994.). In this paper we propose statistics for parametric goodness of fit tests and we obtain their asymptotic distributions. Moreover, we construct bootstrap approximations to these distributions, proving their validity. Finally, a simulation study illustrates our results.

Suggested Citation

  • Delicado, Pedro, 1995. "Random coefficient regressions: parametric goodness of fit tests," DES - Working Papers. Statistics and Econometrics. WS 4199, Universidad Carlos III de Madrid. Departamento de Estadística.
    • Handle: RePEc:cte:wsrepe:4199
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    References listed on IDEAS

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    1. Pedro Delicado & Juan Romo, 1999. "Goodness of Fit Tests in Random Coefficient Regression Models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 51(1), pages 125-148, March.
    2. Beran, R.J. & Le Cam, L. & Millar, P.W., 1987. "Convergence of stochastic empirical measures," Journal of Multivariate Analysis, Elsevier, vol. 23(1), pages 159-168, October.
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    Cited by:

    1. Pedro Delicado & Juan Romo, 1998. "Constant coefficient tests for random coefficient regression," Economics Working Papers 329, Department of Economics and Business, Universitat Pompeu Fabra.

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    Keywords

    Goodness of fit;

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