Authors: Mora, Juan
Neumeyer, Natalie
Title: The Two-Sample Problem with Regression Errors
Language (ISO): en
Abstract: We describe how to test the null hypothesis that errors from two parametrically specified regression models have the same distribution versus a general alternative. First we obtain the asymptotic properties of teststatistics derived from the difference between the two residual-based empirical distribution functions. Under the null distribution they are not asymptotically distribution free and, hence, a consistent bootstrap procedure is proposed to compute critical values. As an alternative, we describe how to perform the test with statistics based on martingale-transformed empirical processes, which are asymptotically distribution free. Some Monte Carlo experiments are performed to compare the behaviour of all statistics with moderate sample sizes.
Issue Date: 2005
Provenance: Universität Dortmund
Appears in Collections:Sonderforschungsbereich (SFB) 475

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