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MINIMUM DISTANCE REGRESSION MODEL CHECKING WITH BERKSON MEASUREMENT ERRORS
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DOI：10.1214/07-AOS565.png)
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Abstract
En 中文
Lack-of-fit testing of a regression model with Berkson measurement error has not been discussed in the literature to date. To fill this void, we propose a class of tests based on minimized integrated square distances between nonparametric regression function estimator and the parametric model being fitted. We prove asymptotic normality of these test statistics under the null hypothesis and that of the corresponding minimum distance estimators under minimal conditions on the model being fitted. We also prove consistency of the proposed tests against a class of fixed alternatives and obtain their asymptotic power against a class of local alternatives orthogonal to the null hypothesis. These latter results are new even when there is no measurement error. A simulation that is included shows very desirable finite sample behavior of the proposed inference procedures.
Keywords:
Kernel estimator
L(2) distance
consistency
local alternatives
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