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Goodness-of-fit testing for varying-coefficient models

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Abstract

We construct an empirical process-based test to examine the adequacy of varying-coefficient models. A Monte Carlo approach is applied to approximate the null distribution of the test. Due to the use of the Monte Carlo test procedure, beyond the desired features that are shared by the existing empirical process-based tests, our test is self-invariant, which overcomes the difficulty of estimating the variance of the test. Simulations are provided to illustrate our methodology.

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Authors and Affiliations

  1. School of Statistics, Renmin University of China, Haidian District, Beijing, People’s Republic of China

    Wang-Li Xu

  2. Department of Mathematics, The Hong Kong Baptist University, Kowloon Tong, Hong Kong, People’s Republic of China

    Li-Xing Zhu

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  1. Wang-Li Xu
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  2. Li-Xing Zhu
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Correspondence to Li-Xing Zhu.

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Xu, WL., Zhu, LX. Goodness-of-fit testing for varying-coefficient models. Metrika 68, 129–146 (2008). https://doi.org/10.1007/s00184-007-0147-2

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  • DOI: https://doi.org/10.1007/s00184-007-0147-2

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