Testing the adequacy of semiparametric transformation models

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Testing the adequacy of semiparametric transformation models

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Testing the adequacy of semiparametric transformation models

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

10103 - Statistics and probability

Projekt

<a href="/cs/project/GA15-09663S" target="_blank" >GA15-09663S: Modelování dynamických finančních procesů se strukturálními změnami</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2018

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Test

ISSN

1133-0686

e-ISSN

—

Svazek periodika

27

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

ES - Španělské království

Počet stran výsledku

25

Strana od-do

70-94

Kód UT WoS článku

000425163500005

EID výsledku v databázi Scopus

2-s2.0-85019545783