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. |
URI: | http://hdl.handle.net/2003/20154 http://dx.doi.org/10.17877/DE290R-8053 |
Issue Date: | 2005 |
Provenance: | Universität Dortmund |
Appears in Collections: | Sonderforschungsbereich (SFB) 475 |
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