Testing the adequacy of semiparametric transformation models
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F18%3A10389566" target="_blank" >RIV/00216208:11320/18:10389566 - isvavai.cz</a>
Result on the web
<a href="https://doi.org/10.1007/s11749-017-0544-4" target="_blank" >https://doi.org/10.1007/s11749-017-0544-4</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1007/s11749-017-0544-4" target="_blank" >10.1007/s11749-017-0544-4</a>
Alternative languages
Result language
angličtina
Original language name
Testing the adequacy of semiparametric transformation models
Original language description
We consider a semiparametric model whereby the response variable following a transformation can be expressed by means of a regression model. In this model, the form of the transformation is specified analytically (up to an unknown transformation parameter), while the regression function is completely unknown. We develop testing procedures for the null hypothesis that this semiparametric model adequately describes the data at hand. In doing so, the test statistic is formulated on the basis of Fourier-type conditional expectations, an idea first put forward by Bierens (J Econom 20:105-134, 1982). The asymptotic distribution of the test statistic is obtained under the null as well as under alternative hypotheses. Since the limit null distribution is nonstandard, a bootstrap version is utilized in order to actually carry out the test procedure. Monte Carlo results are included that illustrate the finite-sample properties of the new method.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
10103 - Statistics and probability
Result continuities
Project
<a href="/en/project/GA15-09663S" target="_blank" >GA15-09663S: Modeling dynamic financial processes with structural breaks</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2018
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Test
ISSN
1133-0686
e-ISSN
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Volume of the periodical
27
Issue of the periodical within the volume
1
Country of publishing house
ES - SPAIN
Number of pages
25
Pages from-to
70-94
UT code for WoS article
000425163500005
EID of the result in the Scopus database
2-s2.0-85019545783