Bootstrapping the order selection test /
The older selection test of Eubank and Hart (1992) and Kuchibhatla and Hart (1 996) in testing lack-of-fit of regression models does not depend on arbitrarily chosen smoothing parameters. The test is consistent against axed alternatives and can detect local alternatives that converge to the null at...
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| Format: | Thesis Book |
| Language: | English |
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[Place of publication not identified] :
[publisher not identified] ;
1998.
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| Online Access: | http://proxy.library.tamu.edu/login?url=http://proquest.umi.com/pqdweb?did=732843271&sid=1&Fmt=2&clientId=2945&RQT=309&VName=PQD |
| Summary: | The older selection test of Eubank and Hart (1992) and Kuchibhatla and Hart (1 996) in testing lack-of-fit of regression models does not depend on arbitrarily chosen smoothing parameters. The test is consistent against axed alternatives and can detect local alternatives that converge to the null at the rate of [1/xG]. The exact distribution of one version of the test statistic is known when the errors are i.i.d. Gaussian. The asymptotic distribution can also be obtained if the errors are i.i.d. with finite fourth moments. However, departures from the assumptions used to derive the limiting distribution may jeopardize the accuracy of the approximation. One commonly encountered violation of the assumption is a model with non-homogeneous errors. In this dissertation the heteroscedastic limiting distribution of the test statistic is derived and shown to depend on the unknown error variance function. The dependency makes using the large sample test a formidable task in practice. An alternative approximation is to apply bootstrap procedures. In this dissertation, the bootstrap and wild bootstrap are successfully implemented in testing the no-effect hypotheses of both i.i.d. and heteroscedastic regression models. |
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| Item Description: | Vita. |
| Physical Description: | x, 91 leaves : illustrations ; 28 cm. Issued also on microfiche from University Microfilm Inc. |
| Bibliography: | Includes bibliographical references: pages 86-89. |