메뉴 건너뛰기




Volumn 95, Issue 2, 2005, Pages 301-322

Testing goodness of fit for the distribution of errors in multivariate linear models

Author keywords

Characteristic function; Distribution of errors; Goodness of fit; Linear models; Residuals

Indexed keywords


EID: 22944482805     PISSN: 0047259X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jmva.2004.08.010     Document Type: Article
Times cited : (26)

References (32)
  • 2
    • 0242474625 scopus 로고    scopus 로고
    • Testing parametric conditional distributions of dynamic models
    • J. Bai Testing parametric conditional distributions of dynamic models Rev. Econ. Statist. 85 2003 531-549
    • (2003) Rev. Econ. Statist. , vol.85 , pp. 531-549
    • Bai, J.1
  • 3
    • 22944434628 scopus 로고    scopus 로고
    • A consistent test for the parametric distribution of regression disturbances
    • B.H. Baltagi Q. Li A consistent test for the parametric distribution of regression disturbances Adv. Econometrics 14 2000 3-24
    • (2000) Adv. Econometrics , vol.14 , pp. 3-24
    • Baltagi, B.H.1    Li, Q.2
  • 4
    • 0000903755 scopus 로고
    • A consistent test for multivariate normality based on the empirical characteristic function
    • L. Baringhaus N. Henze A consistent test for multivariate normality based on the empirical characteristic function Metrika 35 1988 339-348
    • (1988) Metrika , vol.35 , pp. 339-348
    • Baringhaus, L.1    Henze, N.2
  • 5
    • 0000797991 scopus 로고
    • On some global measures of the deviations of density function estimates
    • P.J. Bickel M. Rosenblatt On some global measures of the deviations of density function estimates Ann. Statist. 1 1973 1071-1095
    • (1973) Ann. Statist. , vol.1 , pp. 1071-1095
    • Bickel, P.J.1    Rosenblatt, M.2
  • 6
    • 0000415646 scopus 로고
    • Testing for normality in arbitrary dimension
    • S. Csörgo Testing for normality in arbitrary dimension Ann. Statist. 14 1986 708-723
    • (1986) Ann. Statist. , vol.14 , pp. 708-723
    • Csörgo, S.1
  • 7
    • 0000158808 scopus 로고
    • The non-singularity of generalized sample covariance matrices
    • M.L. Eaton M.D. Perlman The non-singularity of generalized sample covariance matrices Ann. Statist. 4 1973 710-717
    • (1973) Ann. Statist. , vol.4 , pp. 710-717
    • Eaton, M.L.1    Perlman, M.D.2
  • 8
    • 0033115517 scopus 로고    scopus 로고
    • Limiting behavior of the ICF test for normality under Gram-Charlier alternatives
    • T.W. Epps Limiting behavior of the ICF test for normality under Gram-Charlier alternatives Statist. Probab. Lett. 42 1999 175-184
    • (1999) Statist. Probab. Lett. , vol.42 , pp. 175-184
    • Epps, T.W.1
  • 9
    • 0001623560 scopus 로고
    • A test for normality based on the empirical characteristic function
    • T.W. Epps L.B. Pulley A test for normality based on the empirical characteristic function Biometrika 70 1983 723-726
    • (1983) Biometrika , vol.70 , pp. 723-726
    • Epps, T.W.1    Pulley, L.B.2
  • 10
    • 84974231625 scopus 로고
    • Testing the goodness-of-fit of a parametric density function by kernel method
    • Y. Fan Testing the goodness-of-fit of a parametric density function by kernel method Econometric Theory 10 1994 316-356
    • (1994) Econometric Theory , vol.10 , pp. 316-356
    • Fan, Y.1
  • 11
    • 0011062891 scopus 로고
    • Bootstrapping a consistent nonparametric goodness-of-fit test
    • Y. Fan Bootstrapping a consistent nonparametric goodness-of-fit test Econometric Rev. 14 1995 367-382
    • (1995) Econometric Rev. , vol.14 , pp. 367-382
    • Fan, Y.1
  • 12
    • 0031185075 scopus 로고    scopus 로고
    • Goodness-of-fit tests for a multivariate distribution by the empirical characteristic function
    • doi:10.1006/jmva.1997.1672
    • Y. Fan, Goodness-of-fit tests for a multivariate distribution by the empirical characteristic function, J. Multivariate Anal., doi:10.1006/ jmva.1997.1672.
    • J. Multivariate Anal.
    • Fan, Y.1
  • 13
    • 0032342961 scopus 로고    scopus 로고
    • Goodness-of-fit tests based on kernel density estimators with fixed smoothing parameters
    • Y. Fan Goodness-of-fit tests based on kernel density estimators with fixed smoothing parameters Econometric Theory 14 1998 604-621
    • (1998) Econometric Theory , vol.14 , pp. 604-621
    • Fan, Y.1
  • 15
    • 0000134216 scopus 로고
    • Large sample theory for U-statistics and test of fit
    • G.G. Gregory Large sample theory for U-statistics and test of fit Ann. Statist. 5 1977 110-123
    • (1977) Ann. Statist. , vol.5 , pp. 110-123
    • Gregory, G.G.1
  • 16
    • 0001872520 scopus 로고
    • Central limit theorem for integrated square error of multivariate nonparametric density estimators
    • P. Hall Central limit theorem for integrated square error of multivariate nonparametric density estimators J. Multivariate Anal. 14 1984 1-16
    • (1984) J. Multivariate Anal. , vol.14 , pp. 1-16
    • Hall, P.1
  • 17
    • 0001623561 scopus 로고
    • A test for normality based on the empirical characteristic function
    • P. Hall A.H. Welsh A test for normality based on the empirical characteristic function Biometrika 70 1983 485-489
    • (1983) Biometrika , vol.70 , pp. 485-489
    • Hall, P.1    Welsh, A.H.2
  • 18
    • 0031185197 scopus 로고    scopus 로고
    • A new approach to the BHEP tests for multivariate normality
    • doi:10.1006/jmva.1997.1684
    • N. Henze, T. Wagner, A new approach to the BHEP tests for multivariate normality, J. Multivariate Anal., doi:10.1006/jmva.1997.1684
    • J. Multivariate Anal.
    • Henze, N.1    Wagner, T.2
  • 19
    • 0001033261 scopus 로고
    • Robust regression: Asymptotics, conjectures and Monte Carlo
    • P.J. Huber Robust regression: Asymptotics, conjectures and Monte Carlo Ann. Statist. 1 1973 799-821
    • (1973) Ann. Statist. , vol.1 , pp. 799-821
    • Huber, P.J.1
  • 20
    • 0035731999 scopus 로고    scopus 로고
    • Goodness-of-fit tests for mixed model diagnostics
    • J. Jiang Goodness-of-fit tests for mixed model diagnostics Ann. Statist. 29 2001 1137-1164
    • (2001) Ann. Statist. , vol.29 , pp. 1137-1164
    • Jiang, J.1
  • 21
    • 22944439472 scopus 로고    scopus 로고
    • Goodness-of-fit tests based on the empirical characteristic function
    • submitted for publication
    • M.D. Jiménez-Gamero, J. Muñoz-García, M.V. Alba-Fernández, Goodness-of-fit tests based on the empirical characteristic function, submitted for publication
    • Jiménez-Gamero, M.D.1    Muñoz-García, J.2    Alba-Fernández, M.V.3
  • 23
    • 0343879726 scopus 로고
    • A goodness-of-fit test of simple hypothesis based on the empirical characteristic function
    • I.A. Koutrouvelis A goodness-of-fit test of simple hypothesis based on the empirical characteristic function Biometrika 67 1980 238-240
    • (1980) Biometrika , vol.67 , pp. 238-240
    • Koutrouvelis, I.A.1
  • 24
    • 0000454281 scopus 로고
    • A goodness-of-fit test based on the empirical characteristic function when parameters must be estimated
    • I.A. Koutrouvelis J. Kellermeier A goodness-of-fit test based on the empirical characteristic function when parameters must be estimated J. R. Statist. Soc. B 43 1981 173-176
    • (1981) J. R. Statist. Soc. B , vol.43 , pp. 173-176
    • Koutrouvelis, I.A.1    Kellermeier, J.2
  • 25
    • 0000422094 scopus 로고
    • Asymptotics with increasing dimension for robust regression with applications to the bootstrap
    • E. Mammen Asymptotics with increasing dimension for robust regression with applications to the bootstrap Ann. Statist. 17 1989 382-400
    • (1989) Ann. Statist. , vol.17 , pp. 382-400
    • Mammen, E.1
  • 26
    • 0030540684 scopus 로고    scopus 로고
    • Empirical process of residuals for high-dimensional linear models
    • E. Mammen Empirical process of residuals for high-dimensional linear models Ann. Statist. 24 1996 307-335
    • (1996) Ann. Statist. , vol.24 , pp. 307-335
    • Mammen, E.1
  • 27
    • 0346595957 scopus 로고
    • The studentized empirical characteristic function and its application to test the shape of distribution
    • K. Murota K. Takeuchi The studentized empirical characteristic function and its application to test the shape of distribution Biometrika 68 1981 55-65
    • (1981) Biometrika , vol.68 , pp. 55-65
    • Murota, K.1    Takeuchi, K.2
  • 28
    • 0018403316 scopus 로고
    • Testing goodness of fit for the distribution of errors in regression models
    • D.A. Pierce K.J. Kopecky Testing goodness of fit for the distribution of errors in regression models Biometrika 66 1979 1-5
    • (1979) Biometrika , vol.66 , pp. 1-5
    • Pierce, D.A.1    Kopecky, K.J.2
  • 29
    • 0000038960 scopus 로고
    • Asymptotic behaviour of the empiric distribution of M-estimated residuals from a regression model with many parameters
    • S. Portnoy Asymptotic behaviour of the empiric distribution of M-estimated residuals from a regression model with many parameters Ann. Statist. 14 1986 1152-1170
    • (1986) Ann. Statist. , vol.14 , pp. 1152-1170
    • Portnoy, S.1
  • 31
    • 0001237510 scopus 로고
    • Asymptotic results for goodness-of-fit statistics with unknown parameters
    • M.A. Stephens Asymptotic results for goodness-of-fit statistics with unknown parameters Ann. Statist. 4 1976 357-369
    • (1976) Ann. Statist. , vol.4 , pp. 357-369
    • Stephens, M.A.1
  • 32
    • 0011333973 scopus 로고
    • A note on scale estimates based on the empirical characteristic function and their application to test for normality
    • A.H. Welsh A note on scale estimates based on the empirical characteristic function and their application to test for normality Statist. Probab. Lett. 2 1984 345-348
    • (1984) Statist. Probab. Lett. , vol.2 , pp. 345-348
    • Welsh, A.H.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.