Authors: | Dette, Holger Nagel, Eva-Renate Neumeyer, Natalie |
Title: | A Note on Testing Symmetry of the Error Distribution in Linear Regression Models |
Language (ISO): | en |
Abstract: | In the classical linear regression model the problem of testing for symmetry of the error distribution is considered. The test statistic is a functional of the difference between the two empirical distribution functions of the estimated residuals and their counterparts with opposite signs. The weak convergence of the difference process to a Gaussian process is established. The covariance structure of this process depends heavily on the density of the error distribution, and for this reason the performance of a symmetric wild bootstrap procedure is discussed in asymptotic theory and by means of a simulation study. |
Subject Headings: | M-estimation goodness-of-fit tests testing for symmetry empirical process of residuals linear model |
URI: | http://hdl.handle.net/2003/4987 http://dx.doi.org/10.17877/DE290R-15048 |
Issue Date: | 2003 |
Provenance: | Universitätsbibliothek Dortmund |
Appears in Collections: | Sonderforschungsbereich (SFB) 475 |
Files in This Item:
File | Description | Size | Format | |
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25_03.pdf | DNB | 188.06 kB | Adobe PDF | View/Open |
tr25-03.ps | 402.04 kB | Postscript | View/Open |
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