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Martingale transforms goodness-of-fit tests in regression models. (English) Zbl 1092.62052
Summary: This paper discusses two goodness-of-fit testing problems. The first problem pertains to fitting an error distribution to an assumed nonlinear parametric regression model, while the second pertains to fitting a parametric regression model when the error distribution is unknown. For the first problem the paper contains tests based on a certain martingale type transform of residual empirical processes. The advantage of this transform is that the corresponding tests are asymptotically distribution free. For the second problem the proposed asymptotically distribution free tests are based on innovation martingale transforms. A Monte Carlo study shows that the simulated level of the proposed tests is close to the asymptotic level for moderate sample sizes.

62G10 Nonparametric hypothesis testing
62G20 Asymptotic properties of nonparametric inference
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
60G44 Martingales with continuous parameter
62G08 Nonparametric regression and quantile regression
65C05 Monte Carlo methods
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