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- W1584600534 abstract "We discuss how to test whether the distribution of regression errors belongs to a parametric family of continuous distribution functions, making no parametric assumption about the conditional mean or the conditional variance in the regression model. We propose using test statistics that are based on a martingale transform of the estimated empirical process. We prove that these statistics are asymptotically distribution-free, and two Monte Carlo experiments show that they work reasonably well in practice." @default.
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- W1584600534 date "2009-05-01" @default.
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- W1584600534 title "Specification tests for the distribution of errors in nonparametric regression: a martingale approach" @default.
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- W1584600534 doi "https://doi.org/10.1080/10485250802666192" @default.
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