Mora, JuanNeumeyer, Natalie2005-03-082005-03-082005http://hdl.handle.net/2003/2015410.17877/DE290R-8053We 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.enUniversität Dortmund310report