Specification tests in semiparametric transformation models - A multiplier bootstrap approach

Link:
Autor/in:
Erscheinungsjahr:
2020
Medientyp:
Text
Schlagworte:
  • Box-Cox transformation
  • Lack-of-fit test
  • Multiplier bootstrap
  • Nonparametric regression
  • Significance of covariates
  • U-statistics
  • Yeo-Johnson transformation
Beschreibung:
  • Semiparametric transformation models are considered, where after pre-estimation of a parametric transformation of the response the data are modeled by means of nonparametric regression. Subsequent procedures for testing lack-of-fit of the regression function and for significance of covariates are suggested. In contrast to existing procedures, the tests are asymptotically not influenced by the pre-estimation of the transformation in the sense that they have the same asymptotic distribution as in regression models without transformation. Validity of a multiplier bootstrap procedure is shown which is easier to implement and much less computationally demanding than bootstrap procedures based on the transformation model. In a simulation study the superior performance of the procedure in comparison with its existing competitors is demonstrated.
Lizenz:
  • info:eu-repo/semantics/closedAccess
Quellsystem:
Forschungsinformationssystem der UHH

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Quelldatensatz
oai:www.edit.fis.uni-hamburg.de:publications/2f00070d-9f2f-4aae-950e-fc5d071a53ad